We study the computational content of various theorems with reverse mathematical strength around Arithmetical Transfinite Recursion (ATR_0) from the point of view of computability-theoretic reducibilities, in particular Weihrauch reducibility. Our main result states that it is equally hard to construct an embedding between two given well-orderings, as it is to construct a Turing jump hierarchy on a given well-ordering. This answers a question of Marcone. We obtain a similar result for Fraïssé's conjecture restricted to well-orderings.