This paper reports a study on anxiety in Chinese undergraduate non-English majors at three different proficiency levels. By way of survey, observations, reflective journals and interviews, the study revealed that (1) a considerable number of students at each level felt anxious when speaking English in class, (2) the more proficient students tended to be less anxious, (3) the students felt the most anxious when they responded to the teacher or were singled out to speak English in class. They felt the least anxious during pair work, and (4) with increasing exposure to oral English, the students felt less and less anxious about using the target language in speech communication. Based on the findings, some suggestions for future research are proposed. (Contains 6 tables.)