Current models of mental effort in psychology, behavioral economics, and cognitive neuroscience typically suggest that exerting cognitive effort is aversive, and people avoid it whenever possible. The aim of this research was to challenge this view and show that people can learn to value and seek effort intrinsically. Our experiments tested the hypothesis that effort-contingent reward in a working-memory task will induce a preference for more demanding math tasks in a transfer phase, even though participants were aware that they would no longer receive any reward for task performance. In laboratory Experiment 1 (n = 121), we made reward directly contingent on mobilized cognitive effort as assessed via cardiovascular measures (β-adrenergic sympathetic activity) during the training task. Experiments 2a to 2e (n = 1,457) were conducted online to examine whether the effects of effort-contingent reward on subsequent demand seeking replicate and generalize to community samples. Taken together, the studies yielded reliable evidence that effort-contingent reward increased participants’ demand seeking and preference for the exertion of cognitive effort on the transfer task. Our findings provide evidence that people can learn to assign positive value to mental effort. The results challenge currently dominant theories of mental effort and provide evidence and an explanation for the positive effects of environments appreciating effort and individual growth on people’s evaluation of effort and their willingness to mobilize effort and approach challenging tasks.