University mathematics studies are known for high dropout especially in the freshmen year. This dropout is often traced back to the excessive demands freshmen have to face. Research aimed at identifying students’ characteristics that enable them to overcome the demands, for example through cognitive abilities, motivational constructs or self-beliefs. In this paper, we take a different perspective and suggest to include a construct that has not been considered in university mathematics education so far: mathematical resilience. Mathematical resilience is a well-established construct in school education to describe students’ attitude in handling everyday educational challenges like setbacks or frustration. We aim to transfer the construct to university mathematics education. Based on a literature review, we argue that the weekly mathematics assignments (i.e., compulsory exercises) pose a major emotional challenge for freshmen as they require advanced mathematical skills like proving, which students only scarcely learn at school. Failing at those mathematics exercises can lead to lasting frustration and, eventually, dropout. Mathematical resilience may thus be a relevant construct to consider when investigating dropout. We present a novel instrument measuring mathematical resilience against mathematics exercises. Findings of an empirical study with 424 mathematics freshmen confirm that mathematics assignments are in fact viewed as the most frustrating everyday challenge. Moreover, the data provide evidence on the validity and reliability of the novel instrument. The results show that mathematical resilience and the corresponding instrument contribute to research on academic success and failure of mathematics freshmen considering the specific conditions of university mathematics studies.