It is expected that teacher practices could improve students' emotional state by encouraging the endorsement of adaptive goals. However, the mediation effect of achievement goals in the relationship between classroom goal structures and emotions has never been demonstrated empirically. This study therefore investigated this important issue using a multilevel framework, which is more appropriate for testing contextual effects. The participants were 1,232 students (9th grade) from 72 classrooms. They completed a self-reported questionnaire about their emotions at school, their achievement goals and their perceptions of classroom goal structures. Multilevel analysis showed that students' anger, anxiety, and enjoyment were related to goal structures at classroom level. Only the effects of mastery goal structure on anger and enjoyment were mediated by students' mastery goals. These results highlight the relevance of simultaneously considering personal goals and classroom goal structures using multilevel models. From a practical point of view, these findings mainly support the relevance of classroom mastery goal structure to improve students' emotional well-being.