Listening anxiety is regarded as one of the main factors that could impede EFL students’ ability to comprehend the whole listening activity. Consequently, this factor might lead students to experience a lack of listening comprehension, which might influence their academic listening performance. This study was conducted to explore EFL undergraduate students’ listening strategies in overcoming their listening comprehension anxiety. Two research questions were postulated: (1) what causes students’ listening anxiety? (2) what strategies do they undertake to overcome? A qualitative study was undertaken in the present study to answer these questions. The participants of this current study were the first semester students enrolled in the listening daily context class, Duta Wacana Christian University. The instruments employed were open-ended questions and semi-structured interviews. The results showed that all the participants encountered internal and external factors that could increase their anxiety in listening comprehension, such as the lack of cognitive ability, and a conducive environment. These factors had a significant influence on their academic performance in listening. However, another result showed that the students utilized some strategies to overcome their anxiety, such as metacognitive and cognitive strategies. In addition,the findings of this study will assist students in overcoming their listening comprehension anxiety.