Nowadays, different methodologies are booming in the field of education, and active gamification-based methodologies such as the Escape Room are an example of these methodologies, which is the base of this research. The purpose of this research is to analyze the effectiveness of the use of an Escape Room as an active methodology to learn mathematics. A quantitative research method was performed through an experimental design. Two study groups were set up. With the control group, a traditional training methodology was used, and with the experimental group, an innovative one was used through an Escape room experience. A total of 62 students of the 3rd level of Secondary Education from an educational center in Ceuta (Spain) participated. Results show how the experience developed through the escape room improved achievement, motivation and autonomy in a significant way. It has also reduced learning anxiety significantly. It is concluded that the use of the Escape room in Mathematics improves learning achievement, anxiety, motivation and autonomy, with gender being a variable to be taken into account, especially in motivation and autonomy. Therefore, the escape room has a greater potential than a traditional methodology in Mathematics.