Panic attacks and depression frequently co-occur, and the presence of this co-morbidity is often associated with worse outcomes compared with each disorder alone. Despite this, not everyone who experiences panic attacks also suffers from depression, suggesting that individual difference factors may play a role in this co-morbidity. The purpose of this study was to provide a preliminary investigation of two such individual difference factors, examining the role of anxiety sensitivity and lack of emotional approach coping in depressive symptom severity among a non-clinical sample of uncued panickers. A sample of 79 college students reporting the occurrence of uncued panic attacks within the past year completed a series of questionnaires assessing the lower-order factors of anxiety sensitivity, emotional approach coping, panic attack frequency, panic-related disability, panic symptom severity and depressive symptom severity. Participants with more severe depressive symptoms reported greater anxiety sensitivity, panic attack frequency, panic symptom severity, panic-related disability and lack of emotional approach coping. The particular anxiety sensitivity dimension of fear of cognitive dyscontrol and lack of emotional approach coping emerged as the best predictors of depressive symptom severity. Findings are discussed in terms of their implications for the improved understanding of this co-morbidity, as well as its treatment.