The integration of Science, Technology, Engineering, and Mathematics Project-Based Learning (STEM PBL) into educational curriculum has received much attention because of its strength in improving students' affective engagement. We designed the present study to investigate the effectiveness of STEM PBL lessons on 9th grade students' development of affective mathematics engagement. The affective mathematics engagement of two groups of participants (STEM PBL and non-STEM PBL) were compared (N = 147). The results showed group differences in STEM PBL versus non-STEM PBL lessons were statistically significant (t = 5.587, p < 0.001, d = 0.960). In particular, STEM PBL students had greater positive affective mathematics engagement in terms of mathematical self-acknowledgement and value as compared to the non-STEM PBL students. The results of the study indicate that highly situated and integrated instruction has a positive impact on students' perceptions of their affective mathematics engagement.