Limited research has examined how institutional support programs influence the identity development of underrepresented and first-generation graduate students. Using a qualitative approach, this study explores how 11 students participating in the Vector Program, a post-baccalaureate mathematics initiative, construct and navigate their identities, including race, gender, socioeconomic status (SES), and academic identities like math identity. Our analysis revealed that while students entered the program with a range of expectations for support ranging from emotional to instrumental these expectations were not always met. The students’ narratives also varied, their identities shifting from being seen as a list of characteristics to central challenges they confronted within academic spaces. We found that, despite the program’s efforts to provide emotional and academic support, it often mirrored broader structural inequalities, such as class-based barriers and institutional norms that prioritized conformity over authentic identity affirmation. Students’ reflections highlighted both the strengths and limitations of the program’s support structure, offering insight into how it either facilitated or hindered their sense of belonging and academic trajectory. Through a close examination of student voices, this study underscores the importance of creating support systems that are both holistic and identity affirming in graduate education, challenging traditional success metrics and prioritizing the complexity of identity formation in academic spaces.