The Islamic State released a new audio message Saturday purportedly of its leader taunting the U.S. for not sending troops to fight the so-called “caliphate” in the Middle East.

In the 24-minute audio, Abu Bakr al-Baghdadi said the U.S. won’t come to fight the extremists because “their hearts are full of fear from the mujahideen.” The message was al-Baghdadi’s first since May, and comes amid battlefield setbacks that ISIS has recently faced.

"America and its allies dream of destroying the caliphate through their proxies and henchmen, and whenever an alliance of theirs fails or a tail is cut, they hasten to establish another, until they recently declared the Salouli (Saudi) alliance that was falsely called Islamic," al-Baghdadi added.

Islamic State has been facing heavy pressure from the Saudi-led Islamic military coalition against terrorism in the Middle East along with a ground offensive from U.S.-backed Syrian rebels. The rebels captured a major dam on the Euphrates River from ISIS as part of the coalition’s march on ISIS-held areas in northern Syria and Iraqi forces are on the brink of drawing the militants out of Ramadi, according to The Wall Street Journal.

The Syrian Democratic Forces, or SDF, announced earlier this week a new offensive aimed at cutting supply lines between ISIS strongholds in the country’s north. The SDF said Saturday it seized the Tishrin Dam, which supplies much of northern Syria with electricity.

An SDF spokesman told the Associated Press earlier this week that his forces are also trying to cut the supply lines between the Islamic State's de-facto capital of Raqqa and the group's stronghold of Manbij in northern Syria.

The SDF, dominated by the main Kurdish militia in Syria known as YPG, or People's Protection Units, has become a main force in fighting ISIS

The Islamic State group has come under pressure in Syria and Iraq, where it has declared its self-styled Islamic caliphate on territory that the militant group controls. It lost the town Sinjar in Iraq last month, and areas across the border in Syria at the same time. Iraqi government troops are also advancing in the Islamic State-held city of Ramadi, the provincial capital of the sprawling Anbar province, Iraq's Sunni heartland.

Airstrikes by the U.S.-led coalition and Russia in Syria have also destroyed Syrian oil facilities and killed several IS leaders in recent weeks.

If the Saudi-led alliance was truly Islamic, then it would fight the Syrian army and its Russian "masters," as well as Shiites and Jews, al-Baghdadi said.

In mid-December, Saudi Arabia announced the new, 34-member alliance against terrorism, to be based in the kingdom's capital, Riyadh. But Shiite powerhouse Iran is not part of the new coalition; neither are Iraq and Syria, whose forces are battling to regain ground from the Islamic State group and whose governments are allied with Tehran.

Al-Baghdadi gave a stern warning to the nations participating in airstrikes against ISIS.

"We promise you, God permitting, that whoever participates in the war against the Islamic State will pay the price dearly."

He also threatened Israel saying: we haven't forgotten you" and "we are getting closer to you" every day. To Israeli Jews, he said that they "will hide behind trees and stones" from the ISIS.

The Islamic State is still in competition with Al Qaeda in the Middle East, according to Kronos Advisory. ISIS may be considering launching an offensive against Israel to build up support for its fight and to help push other groups who haven’t aligned with ISIS to join their battle.

The Associated Press contributed to this report.