Background: Mathematics achievement is related to positive and negative emotions. Pekrun's control-value theory of achievement emotions suggests that students' self-concept (i.e., self-appraisal of ability) may be an important mediator of the relation between mathematics achievement and emotions. Aims: The aims were (1) to investigate the mediating role of mathematical self-concept in the relation between mathematics achievement and the achievement emotions of enjoyment and anxiety in a comprehensive model, and (2) to test possible differences in this mediating role between low-, average-, and high-achieving students. Sample: Participants were ninth-grade students (n = 1,014) from eight secondary schools in the Netherlands. Methods: Through an online survey including mathematical problems, students were asked to indicate their levels of mathematics enjoyment, anxiety, and self-concept. Structural equation modelling was used to test the mediating role of self-concept in the relation between mathematics achievement and emotions. Multigroup analyses were performed to compare these relations across the three achievement groups. Results: Results confirmed full mediation of the relation between mathematics achievement and emotions by mathematical self-concept. Furthermore, we found higher self-concepts, more enjoyment and less math anxiety in high-achieving students compared to their average and low-achieving peers. No differences across these achievement groups were found in the relations in the mediational model. Conclusions: Mathematical self-concept plays a pivotal role in students' appraisal of mathematics. Mathematics achievement is only one factor explaining students' self-concept. Likely also classroom instruction and teachers' feedback strategies help to shape students' self-concept.