Midbrain dopamine neurons are known to encode reward prediction errors (RPE) used to update value predictions. Here, we examine whether RPE signals coded by midbrain dopamine neurons are modulated by the cost paid to obtain rewards, by recording from dopamine neurons in awake behaving monkeys during performance of an effortful saccade task. Dopamine neuron responses to cues predicting reward and to the delivery of rewards were increased after the performance of a costly action compared to a less costly action, suggesting that RPEs are enhanced following the performance of a costly action. At the behavioral level, stimulus-reward associations are learned faster after performing a costly action compared to a less costly action. Thus, information about action cost is processed in the dopamine reward system in a manner that amplifies the following dopamine RPE signal, which in turn promotes more rapid learning under situations of high cost.