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In this paper we study the eigenvalue problems for a nonlocal operator of order that is analogous to the local pseudo Laplacian. We show that there is a sequence of eigenvalues and that the first one is positive, simple, isolated and has a positive and bounded associated eigenfunction. For the first eigenvalue we also analyze the limits as $p\to \infty$ (obtaining a limit nonlocal eigenvalue problem analogous to the pseudo infinity Laplacian) and as (obtaining the first eigenvalue for a local operator of Laplacian type). To perform this study we have to introduce anisotropic fractional Sobolev spaces and prove some of their properties.

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