Recent research shows that teacher support is predictive of student outcomes, such as engagement and effort. In this study, we explored the relation between students' perceptions of teacher instrumental support in mathematics lessons and their effort in mathematics. We also tested whether this relation was mediated through students' perception of the utility value, cost, and intrinsic value of mathematics. The study was designed as a cross-sectional survey. The participants included 309 9th and 10th grade Norwegian high school students. Three dimensions of mathematics task values were measured: utility value, intrinsic value, and the cost of working with mathematics. The data were analyzed by means of structural equation modeling. Instrumental support was directly and positively related to both the utility value and the intrinsic value of mathematics. However, it was only indirectly related to the perceived cost of working with mathematics, mediated by the utility value and the intrinsic value. Instrumental support was also both directly and indirectly related to effort. The indirect relation was mediated by the students' perception of mathematics task values.