This might not be the answer if you've never had any interval ear training, but it would be good to add it here.
What I usually try to look for is a V-I drop. In a lot of songs, it is used to determine the scale.
In some classical pieces, it used somewhere in the beginning of the song. For instance, if the song is in C naturalharmonic minor, there would be a G - Cm drop. ThatWhereas, if the song is in C major, there would be a G-C drop.That would help you understand the scale.
Εxample:
In C major and C harmonic minor scales, the V chord is the same. It's G-B-D. So, if I hear a G and then a C/Cm, I would know that the song is in C major or C harmonic minor scale respectively.
@AlexanderTroup, my teacher played a lot of V-I's on the piano, some where minor and some major. That was my ear training material. (There were more chords, not just V-I).
It is quite often seen as: IV-V-I (and in jazz, II-V-I)
But, in some more complex songs, this might not exactly point out the scale.