Problems with Magento SOAP login

PHP Fatal error: Uncaught SoapFault exception: [Client] looks like we got no XML document

I'm trying to connect to Magento using SOAP and the error occurs when I try to do login. The user exists, password is correct and the user have all privileges. The url that I'm trying to connect is OK and the content too, it's a correct XML. I have used trace = true and all that things.

Here is my code:

$mage_url = 'http://mymagentoserver/api/soap?wsdl';
$mage_user = 'soap_user';
$mage_api_key = '********';
$soap = new SoapClient( $mage_url );
$session_id = $soap->login( $mage_user, $mage_api_key );