In this article I reconstruct Nietzsche’s largely implicit understanding of how value systems are created. At the heart of this process are affects, which Nietzsche sees as drive-based evaluative feelings. Affects create value systems when they form rational patterns of feeling around the aims of their underlying drives. But Nietzsche sets this process of value creation in a functionalist context in which values work to promote underlying drives through the direct privileging of their aims over the aims of other drives, through encouraging the pursuit of objects and conditions that facilitate the drive’s discharge, and through the justification of the affects that create the values in the first place. I show how Nietzsche’s functionalism can be reconciled with his commitment to the idea that affects create values. And I test my claims against Nietzsche’s analysis of slave morality to show that his interpretations of the morality of custom, asceticism, and noble morality follow the same pattern.