Stock market generally accepted as security exchange has immensely attracted so much interests from various stakeholders around the world as they endow exceedingly to the growth of the world economy. Kenya's stock market, Nairobi Securities Exchange, being an emerging market, this study focused on seasonal anomalies as a type of market anomalies which is operationalized monthly. When there is seasonal anomalies, firms tend to exhibit unhealthy financial position which is financial distress. Financial distress takes a huge chunk of challenges which firms face in their day to day operations and is measured by Z-Score. This study takes a departure from the previous studies and assesses listed firms which are trading, under suspension or delisted from the stock markets while at the same time relating seasonal anomalies to financial distress which created a scholarly gap. This study adopts descriptive research design. It also embraced secondary data from 2007 to 2017 from a target population of 67 listed firms which had been licensed by the Capital Market Authority. It was found that there was indeed a relationship between seasonal anomalies and firms' financial distress. The study recommends that the management must have well thought risk mitigants so as to avoid the harsh repercussions of the seasonal anomalies effects. Investors ought to engage finance experts on investment decisions so as to only invest in financially healthy firms. Policy makers and regulators should have the capability and capacity of unearthing the infamous practice of tax evasion or tax fraud by firms. They should also make sure that information dissemination is done in accordance and within the precincts of the law so as to benefit of all the stakeholders.