Anxiety sensitivity refers to the extent of beliefs that anxiety symptoms or arousal can have harmful consequences. There is growing evidence for anxiety sensitivity as a risk factor for anxiety disorders. Anxiety sensitivity is elevated in panic disorder as well as other anxiety disorders. It is thought to contribute to the maintenance and severity of anxiety symptoms. Studies have shown that anxiety sensitivity more specifically predicts the future occurrence of panic attacks. The Anxiety Sensitivity Index (ASI), which measures the construct of anxiety sensitivity, has three subscales, namely, the ASI-Physical subscale, ASI-Social subscale and ASI-Mental Incapacitation Concerns subscale. The dimension reflecting “fear of physical sensations” of anxiety sensitivity is the most predictive one of panic attacks and panic disorder. Research on the ASI has demonstrated that persons diagnosed with post-traumatic stress disorder, generalized anxiety disorder, obsessive-compulsive disorder, and social anxiety disorder all had ASI scores higher than normal controls. Depression was speculated to hold a positive correlation to high anxiety sensitivity scores. The relationships between anxiety sensitivity, alcohol and substance use disorders are still unknown. There is evidence that anxiety sensitivity is related with “drinking used as a way of coping”. Since anxiety sensitivity is a cognitive construct, it should be taken into consideration when evaluating patients with anxiety and psychotherapeutic formulations.