Research indicates that anxiety sensitivity may be related to the negative experience of pain, especially amongst women. Further evidence with chronic pain patients indicates that anxiety sensitivity may result in avoidance pain-coping strategies. However, this effect has not yet been experimentally investigated in healthy groups. Therefore, the current study sought to investigate the effect of anxiety sensitivity and coping on women’s responses to pain. Thirty women who were classified as high in anxiety sensitivity and 30 women classified as low in anxiety sensitivity participated. Within each anxiety sensitivity group, half the participants (n = 15) were randomly instructed to either focus on or avoid cold pressor pain sensations. As expected, women high in anxiety sensitivity were found to report higher levels of sensory and affective pain. Also, and consistent with previous research into anxiety sensitivity, no differences were found between anxiety sensitivity groups for measures of pain threshold or pain tolerance. The pain coping instruction manipulation was found to moderate pain experience, in that the avoidance strategy resulted in higher pain ratings compared to when instructed to focus. Finally, high anxiety sensitive women reported greater pain when instructed to avoid rather than focus on cold pressor pain. These results are discussed in light of previous research and future directions for pain management.