Recent studies have related enhancements of theta‐ (∼4–8 Hz) and alpha‐power (∼8–13 Hz) to listening effort based on parallels between enhancement and task difficulty. In contrast, nonauditory works demonstrate that, although increases in difficulty are initially accompanied by increases in effort, effort decreases when a task becomes so difficult as to exceed one's ability. Given the latter, we examined whether theta‐ and alpha‐power enhancements thought to reflect effortful listening show a quadratic trend across levels of listening difficulty from impossible to easy. Listeners (n = 14) performed an auditory delayed match‐to‐sample task with frequency‐modulated tonal sweeps under impossible, difficult (at ∼70.7% correct threshold), and easy (well above threshold) conditions. Frontal midline theta‐power and posterior alpha‐power enhancements were observed during the retention interval, with greatest enhancement in the difficult condition. Independent component‐based analyses of data suggest that theta‐power enhancements stemmed from medial frontal sources at or near the anterior cingulate cortex, whereas alpha‐power effects stemmed from occipital cortices. Results support the notion that theta‐ and alpha‐power enhancements reflect effortful cognitive processes during listening, related to auditory working memory and the inhibition of task‐irrelevant cortical processing regions, respectively. Theta‐ and alpha‐power dynamics can be used to characterize the cognitive processes that make up effortful listening, including qualitatively different types of listening effort.