Anxiety sensitivity is a known precursor to panic attacks and panic disorder, and involves the misinterpretation of anxiety-related sensations. Aerobic exercise has been shown to reduce generalized anxiety, and may also reduce anxiety sensitivity through exposure to feared physiological sensations. Accordingly, 54 participants with elevated anxiety sensitivity scores completed six 20-min treadmill exercise sessions at either a high-intensity aerobic ( n = 29 ) or low-intensity ( n = 25 ) level. Self-ratings of anxiety sensitivity, fear of physiological sensations associated with anxiety, and generalized anxiety were obtained at pre-treatment, post-treatment, and one-week follow-up. Results indicated that both high- and low-intensity exercise reduced anxiety sensitivity. However, high-intensity exercise caused more rapid reductions in a global measure of anxiety sensitivity and produced more treatment responders than low-intensity exercise. Only high-intensity exercise reduced fear of anxiety-related bodily sensations. The implications of these findings are discussed.