Listening comprehension is viewed theoretically as an active and conscious process in which the listener constructs meanings by using cues from contextual information and from listener's prior knowledge, which relying on multiple strategic resources to fulfill the task requirements (O'Malley, Chamot and Kupper, 1989). The whole process is a covert activity which involves many complicated mental steps. This study focuses on the exploration of EFL listeners' cognitive processes involved in listening comprehension. In particular, it tries to identify the listening problems frequently encountered by EFL listeners and teh strategies activated to solve them while comprehending an oral text in English. The result of this study has completely supported psycholinguists claims that comprehension process is a "psycholinguistic guessing game". There are 11 important listening problems often encountered by the EFL students and 8 responding strategies employed by EFL listeners to comprehend the aural text during their comprehension process.