Background: Exercise interventions repeatedly have been shown to be efficacious for the treatment of depression, and initial studies indicate similar efficacy for the treatment of anxiety conditions. To further study the potential beneficial role of prescriptive exercise for anxiety-related conditions, we examined the role of exercise in reducing fears of anxiety-related sensations (anxiety sensitivity). Methods: We randomly assigned 60 participants with elevated levels of anxiety sensitivity to a 2-week exercise intervention, a 2-week exercise plus cognitive restructuring intervention, or a waitlist control condition. Assessment of outcome was completed at pretreatment, midtreatment, 1-week posttreatment, and 3-week follow-up. Results: We found that both exercise conditions led to clinically significant changes in anxiety sensitivity that were superior to the waitlist condition, representing a large controlled effect size (d=2.15). Adding a cognitive component did not facilitate the effects of the exercise intervention. Consistent with hypotheses, changes in anxiety sensitivity mediated the beneficial effects of exercise on anxious and depressed mood. Conclusions: We discuss these findings in terms of the potential role of exercise as an additional psychosocial intervention for conditions such as panic disorder, where anxiety sensitivity is a prominent component of pathology. Depression and Anxiety 25:689–699, 2008. © 2008 Wiley-Liss, Inc.