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Mental workload refers to the cognitive effort required to perform tasks, and it is an important factor in various fields, including system design, clinical medicine, and industrial applications. In this paper, we propose innovative methods to assess mental workload from EEG data that use effective brain connectivity for the purpose of extracting features, a hierarchical feature selection algorithm to select the most significant features, and finally machine learning models. We have used the Simultaneous Task EEG Workload (STEW) dataset, an open-access collection of raw EEG data from 48 subjects. We extracted brain-effective connectivities by the direct directed transfer function and then selected the top 30 connectivities for each standard frequency band. Then we applied three feature selection algorithms (forward feature selection, Relief-F, and minimum-redundancy-maximum-relevance) on the top 150 features from all frequencies. Finally, we applied sevenfold cross-validation on four machine learning models (support vector machine (SVM), linear discriminant analysis, random forest, and decision tree). The results revealed that SVM as the machine learning model and forward feature selection as the feature selection method work better than others and could classify the mental workload levels with accuracy equal to 89.53% (± 1.36). [ABSTRACT FROM AUTHOR]