I am a native Chinese speaker, and I have lived in Toronto for 8 years since the time I was 18 years old. But my English listening skills are pretty poor. I cannot understand the movies in the theater without subtitles. So I really want to improve my English listening skills.
Listen to as much English content as you can cram in your day. Don't worry if you don't understand much. Just keep at it, and log in the hours. Your listening comprehension improves, but the process is very gradual and subtle, and will probably seem a bit mysterious1.
You may want to start with content spoken by those who have a clear elocution by their profession. I particularly like news shows, documentaries, and educational shows (including those for youngsters and children). When you start, it's better to stick to video, with images that accompany the spoken word. (At the beginning, you can use all the help you can get to follow what's being said.) As you get better, you can add audio-only content.
Another popular technique is to watch movies and sitcoms in English that you have already seen in Chinese. (One of the two versions would have been dubbed, of course.) For example, you could first watch a Seinfeld episode dubbed to Chinese, and then watch the same episode in English. (Netflix for example has many of such dubbed offerings.)
Colloquial, man-on-the-street English will take you the longest to master, so be prepared for that.
In my experience, doing the above will get you to the point of understanding 80-90% of news, documentaries, etc. in English. In order to get to the point of understanding 100%, you'll need to speak English daily. Speaking will feedback into your listening.
1In fact, if you find a 5-10 minute clip of recorded English that you don't understand much of now, save it, and come back to it 6 months after you have been following the suggestion I'm giving you here. Not only will you be amazed at how much better you understand it, but you will also wonder why you weren't able to understand the same text before. This is what I mean when I say the process is a bit mysterious.
The more you talk to native speakers the better your listening skills (and not only listening). There are also a lot of different options (listen to the radio, visit speaking clubs), but when you are trying to understand what a person you are listening to means - it's the best listening practice.
Below are some tips for you:
- Try to listen to audiobooks and watch some Ted Talks (they usually provide you with the option to turn on subtitles and they deal with hundreds of topics). This way you can spend your time while listening to/watching something that you may find interesting while you can practice your English listening skills at the same time.
- If you are interested in documentaries, you should watch a lot of them in English (for example the ones from the BBC or on Netflix).
- Rewatch a movie, TV series or show that you love but do it in English and without subtitles this time (since you already know the plot you can focus more on the dialogues, word usage and pronunciation).
- Watch a lot of Youtube videos and try the Youtube playback speed function that you can select by clicking on the gear icon at the bottom of a video. This way you can either speed up or slow down any video so you can find it easier to understand what people are saying sometimes.
While agreeing the other answers are precisely aimed at the topic, this is still an important point: in order to understand spoken language it's obviously helpful if you already understand everything else about the language. In particular, that means having a broad vocabulary.
If you read literature, a novel, a newspaper, a scientific article, do you understand 100.000% of what you read? Is there anything surprising whatsoever?
Because if a word or expression can appear in print, it can also be spoken.
If it is spoken you only get a brief second to hear it, and parse it, and understand it. That's difficult. It's easier to read the same sentence, because you can investigate what the word means.
So the advice is, until you have reached a very high level of fluency: read more.