This thesis reports on a mixed-method, sequential, explanatory study on the nature and conceptualisation of anxiety about language learning. Recent years have seen a proliferation of research papers covering language anxiety; however, as yet, very little empirical research has been done to explain anxiety by taking into account the whole environment of the learner. Given that anxiety is one of the most important affective reactions to classroom language learning, conducting more research into it could indeed help students, teachers, and researchers to better understand how anxiety works and what drastic steps could be taken in order to cope with it. The quantitative part of the study involved 128 Greek EFL learners enrolled in general English classes in two private language schools in Northern Greece, who completed a self-reported questionnaire. The follow-up qualitative study consisted of seven highly-anxious EFL students who kept a learner diary for two months. The diarists, along with another six students, also participated in individual, in-depth, semi-structured interviews. Eleven EFL tutors working in the same institutes were also interviewed. The quantitative and qualitative findings were integrated into a meta-inferential discussion.