The purpose of this research was to explore the factors associated with online learning anxiety by carefully designing, developing, and providing preliminary validity and reliability evidence of a scale to measure undergraduate students’ online learning anxiety. We created a conceptual framework to organize the literature surrounding online learning anxiety and used this framework to develop an initial item pool of 30 items. The researchers recruited N = 297 undergraduate student participants from four public universities in the southeastern United States from whom we collected and analyzed data for descriptive statistics, internal consistency reliability, exploratory factor analysis, and correlational analysis. Following systematic analytic procedures, we arrived at a three-factor model explaining approximately 65% of the variability in these data and retained 24 items in the final model with minimal cross-loadings in the pattern matrix. We labeled the identified factors as (1) online learner feelings of negativity and inadequacy, (2) online learner apprehension towards personal communication, and (3) online learner discomfort with instructor capacity and communication. The final instrument was named the Online Learner Anxiety Scale (OLAS). Scores on the OLAS were correlated with five other measures hypothesized to relate to online learning anxiety thereby providing stronger construct validity evidence. The OLAS was found to produce reliable scores that can be validly inferred as measures of online learning anxiety among undergraduate students in institutions of higher education. These findings are discussed and framed in light of current literature on online learning and possible future research directions.