The voice on the tape tells Muslims to back Iraqi people against a US attack.
It's crackly and bad quality, but the voice can be heard calling for suicide attacks against Americans.
The US say the tape is probably real, which means Osama bin Laden - thought to be behind the 11 September attacks - is still alive.
And they say it shows there is a link between Iraq and al-Qaeda.
The US has been looking for evidence that al-Qaeda and Saddam Hussein are connected in some way for a while.
But the tape might make some nervous. It came out on the day US and UK authorities warned people to be alert - but not to panic - about possible attacks.
Americans are especially worried about the risk of a poison or "dirty bomb" attack. A "dirty bomb" combines a simple explosive with any radioactive material.
Some still aren't sure the tape is from Bin Laden though.
Many are suspicious that it came out just as the US are trying to persuade countries in Europe to back them over a war with Iraq.