Teaching and learning mathematics has many challenges, including student engagement, attitudes and beliefs toward mathematics. Students experience stress and anxiety while learning mathematics. Mathematics is perceived as a complex subject. Student self-efficacy and a sense of utility value of mathematics topics can impact student learning and well-being. The current study aims to examine the mediating role of student engagement on the relationship between mathematics self-efficacy, utility value and well-being among students. A cross-sectional survey of 774 eighth-grade students (491 male and 283 female) from India was carried out using standardized scales to measure the study variables. The mediation analysis tested two conceptual models. The findings indicate that student engagement mediates the relationship between self-efficacy and student well-being (model 1), and student engagement mediates the relationship between utility value and student well-being (model 2). The structural equation model results indicate an acceptable fit of the tested conceptual models. The study findings call for focusing on socio-emotional aspects of mathematics learning to improve the well-being of students.