The present article outlines the procedure and shows the outcomes of a think-aloud study intended to, first, find out what listening strategies Hong Kong students of Spanish use to comprehend a particular oral passage in the target language, second, discover what strategies the learners perceive to be the most effective, and, third, understand the participants’ perceptions of the think-aloud protocol. Such a protocol was developed during interviews in which students listened to a text in Spanish, and were asked to verbalize the processes they were using. After listening, they completed five comprehension questions, reflected on their strategic behaviour, and evaluated the protocol itself. Results reveal that problem identification and evaluation are the most used strategies; while the strategies of focusing attention, note taking, and cooperation are reported to be the most effective ones. Findings also show that students have a very positive view of the developed think-aloud protocol.