We study Dyakonov surface waveguide modes in a waveguide represented by an interface of two anisotropic media confined between two air half-spaces. We analyze such modes in terms of perturbation theory in the approximation of weak anisotropy. We show that in contrast to conventional Dyakonov surface waves that decay monotonically with distance from the interface, Dyakonov waveguide modes can have local maxima of the field intensity away from the interface. We confirm our analytical results by comparing them with full-wave electromagnetic simulations. We believe that this work can bring new ideas in the research of Dyakonov surface waves.