Conceptual understanding of calculus is crucial in the fields of applied sciences, business, and engineering and technology subjects. However, the current status indicates that students possess only procedural knowledge developed from rote learning of procedures in calculus without insight of core ideas. Hence, this paper aims to assess students' challenges and to get insight on common barriers towards attaining conceptual knowledge of calculus. A purposive sample of 238 grade 12 natural sciences students from four different schools in one administrative Zone of Ethiopia were selected to participate in this study. An open ended test about limit of functions at a point and at infinity was administered and analyzed quantitatively and qualitatively. The findings reveal a number of factors about students' knowledge such as: lack of conceptual knowledge in limit of functions, knowledge characterized by a static view of dynamic processes, over generalization, inconsistent cognitive structure, over dependence on procedural learning, lack of coherent and flexibility of reasoning, lack of procedural fluency and wrong interpretation of symbolic notations. Students' thinking strategies influencing these challenges originate from their arithmetic thinking rather than algebraic, linguistic ambiguities, compartmentalized learning, dependence on concept image than concept definition, focus in obtaining correct answers for wrong reasons, and attention given to lower level cognitive demanding exercises.