In the context of high-stakes qualifications, teachers may warn students of the negative consequences of failure as a tactic designed to increase engagement and, ultimately, achievement. Previous studies have shown that these types of messages, namely fear appeals, are indirectly related to engagement and achievement in different ways, depending on how they are evaluated by the student. When fear appeals are evaluated as a challenge, they are positively related to engagement and achievement. When evaluated as a threat, fear appeals are negatively related to engagement and achievement. In the present study, we offer a robust test of these relations in a multilevel model that controls for autoregressive and concurrent relations in the domain of mathematics. Self-reported data were collected from 1,530 participants, aged 14–16 years, at two time points over the final 2 years of secondary education. These data were linked to prior and subsequent achievement. Results showed that students who attended to fear appeals and evaluated them as a challenge showed higher subsequent engagement, and students who showed higher engagement showed higher achievement. Accordingly, it may be beneficial to identify those students likely to evaluate fear appeals as a threat and intervene to enhance the likelihood of a challenge evaluation (e.g., building confidence through strategy focused feedback and strengthening beliefs in the value of effort). Given the difficulties associated with teachers judging students’ motivation and emotion as private experiences, methods to access student voice should be considered.