Listening anxiety can have detrimental effects on listening comprehension performance that can be emotional, bodily, academic, and cognitive. Research in the area of listening anxiety is limited, especially in the Saudi context. This research was carried out to address the gaps in the literature on listening anxiety and expand knowledge in the area of foreign language anxiety in particular. Its aim was to investigate listening anxiety in the Saudi context from the perspective of Saudi female university EFL students. It has three main objectives: to investigate the relationship between listening anxiety and English listening comprehension performance; to explore the factors that provoke listening anxiety; and to explore the strategies students employ to cope with their anxious feelings in L2 listening settings. The study employed a mixed-method design to collect data through questionnaires, semi-structured interviews, and students' diaries. It consisted of two phases: a quantitative phase and a qualitative phase. The first of these, the quantitative phase, involves the collection of data from 268 participants using questionnaires. The second phase, the qualitative phase, involves the collection of data from 12 participants using semi-structured interviews and from 6 participants using weekly diaries. The quantitative data were analysed using SPSS programme to present descriptive statistics. The qualitative data were analysed using thematic analysis. The findings indicate that students experienced a moderate level of listening anxiety. Moreover, they suggested that listening anxiety is a complex construct which includes a number of dimensions, namely cognitive and social dimensions, which correlates with listening comprehension performance negatively and which does not vary across academic levels. Additionally, the study found a number of factors including student-related factors; classroom-related factors; and socio-cultural factors, which emerged from the analysis of the qualitative data. Some of these factors, such as ethnic identity and the influence of family, have not previously been reported in the literature on listening anxiety. Moreover, the findings from the qualitative data suggested a number of coping strategies: behavioural actions to avoid listening anxiety; seeking support; preparation, reviewing and learning; concentration and association; relaxation techniques and positive self-talk. The study offers a number of theoretical implications, pedagogical implications, and areas for future research. Some pedagogical implications in areas of L2 teachers, curriculum designers, policy-makers, and L2 students were identified.