While scholars and educators have increasingly recognized the importance of mathematics learning, many students suffer from anxiety. Therefore, educators and students demand more knowledge to reduce math anxiety's negative impacts effectively. This study explores the underlying mechanisms by which math anxiety affects students' learning efforts, thereby mathematics performance. Using data obtained from PISA 2012 assessment on US high school students' mathematics learning, the analyses revealed that students' sense of belonging serves as a potential mediating mechanism that links math anxiety and students' learning efforts. Specifically, math anxiety may adversely impact students' self-esteem, hindering their willingness to engage in social interactions at school. As a result, they may perceive a lower sense of belonging, leading to reduced motivation in learning mathematics. However, the study found that this negative link might be potentially mitigated by introducing formative assessment by their teachers as such assessment allows teachers to offer timely feedback on students' performance, thus creating a more welcoming environment to engage the students.