The aim of this study is to assess if changes in dysfunctional beliefs and self-efficacy precede changes in panic apprehension in the treatment of panic disorder with agoraphobia. Subjects participated in a larger study comparing the effectiveness of cognitive restructuring and exposure. Four variables were measured: (a) the strength of each subject's main belief toward the consequence of a panic attack; (b) perceived self-efficacy to control a panic attack in the presence of panicogenic body sensations; (c) perceived self-efficacy to control a panic attack in the presence of panicogenic thoughts; and (d) the level of panic apprehension of a panic attack. Variables were recorded daily on a "0" to "100" scale using category partitioning. Multivariate time series analysis and "causality testing" showed that, for all participants, cognitive changes preceded changes in the level of panic apprehension. Important individual differences were observed in the contribution of each variable to the prediction of change in panic apprehension. Changes in apprehension were preceded by changes in belief in three cases, by changes in self-efficacy in six cases, and by changes in both belief and self-efficacy in the remaining three cases. This pattern was observed in participants in the exposure condition as well as those in the cognitive restructuring condition. These results provide more empirical support to the hypothesis that cognitive changes precede improvement. They also underlie the importance of individual differences in the process of change. Finally, this study does not support the hypothesis that exposure and cognitive restructuring operate through different mechanisms, namely a behavioral one and a cognitive one.