To determine how much cognitive control to invest in a task, people need to consider whether exerting control matters for obtaining rewards. In particular, they need to account for the efficacy of their performance-the degree to which rewards are determined by performance or by independent factors. Yet it remains unclear how people learn about their performance efficacy in an environment. Here we combined computational modeling with measures of task performance and EEG, to provide a mechanistic account of how people (i) learn and update efficacy expectations in a changing environment and (ii) proactively adjust control allocation based on current efficacy expectations. Across 2 studies, subjects performed an incentivized cognitive control task while their performance efficacy (the likelihood that rewards are performance-contingent or random) varied over time. We show that people update their efficacy beliefs based on prediction errors-leveraging similar neural and computational substrates as those that underpin reward learning-and adjust how much control they allocate according to these beliefs. Using computational modeling, we show that these control adjustments reflect changes in information processing, rather than the speed-accuracy tradeoff. These findings demonstrate the neurocomputational mechanism through which people learn how worthwhile their cognitive control is.