Challenge (formerly Challenge Mills) is an unincorporated community in Yuba County, California. It is located on Dry Creek northeast of Marysville.
Challenge was once the terminus of a narrow-gauge logging railroad that hauled timber to the Beanville mill.
A post office opened at Challenge in 1895.
According to the Köppen Climate Classification system, Challenge has a warm-summer Mediterranean climate, abbreviated "Csa" on climate maps.