This study investigates the extent to which Bangladeshi students at Malaysia particularly in the International Islamic University Malaysia (IIUM) experience a cultural gap and its physiological adjustment upon enrolling in the university. The participants in the study were Bangladeshi undergraduate students, pursued their studies at IIUM. The qualitative approach of phenomenology was employed in this study. The study found that Bangladeshi students studying in International Islamic University Malaysia (IIUM) are experiencing a cultural gap manifested in the themes of homesickness, food problem, financial problem and language problems. Among the methods used by the Bangladeshi students to adjust to the gap include looking at the positive aspects of the local culture and involving co-curricular activities. The uniqueness and significance of this study lies in its content- it is perhaps the first study on the cultural gap and psychological adjustment experienced by Asian Muslim students in an Asian Muslim country.