Anxiety is an important factor in foreign language learning. Very few studies have been done on English as a Foreign Language (EFL) Saudi students in listening classes. Therefore, this pilot study was aimed at exploring the causes of listening comprehension anxiety from EFL Saudi learners' perspectives at Majmaah University, Saudi Arabia. The pilot study involved two students who were selected based on the following criteria: 1) Only Saudi male undergraduate students who enrolled in Preparatory Year Program (PYP) at Majmaah University would be involved in this study, 2) The students who had studied or lived in native English speaking countries would be excluded. The researcher used pseudonyms to refer to the participants as Mohammad and Ismail. This study employed a qualitative case study research design. The data were collected through Semi-structured interviews with the participants. The interview sessions were audiotaped and transcribed. The results show that the participants experienced a high level of anxiety when doing the listening comprehension tasks. Three main causes of listening comprehension anxiety emerged from this study: 1) the problematic nature of listening comprehension, 2) the classroom atmosphere, and 3) the low English proficiency of the students.