The feedback people receive on their behavior shapes the process of belief formation and self-efficacy in mastering a particular task. However, the neural and computational mechanisms of how the subjective value of self-efficacy beliefs, and the corresponding affect, influence the learning process remain unclear. We investigated these mechanisms during self-efficacy belief formation using fMRI, pupillometry, and computational modeling, and by analyzing individual differences in affective experience. Biases in the formation of self-efficacy beliefs were associated with affect, pupil dilation, and neural activity within the anterior insula, amygdala, ventral tegmental area/ substantia nigra, and mPFC. Specifically, neural and pupil responses mapped the valence of the prediction errors in correspondence with individuals’ experienced affective states and learning biases during self-efficacy belief formation. Together with the functional connectivity dynamics of the anterior insula within this network, our results provide evidence for neural and computational mechanisms of how we arrive at affected beliefs.