This study examined the role of experiential avoidance and difficulties engaging in goal-directed behavior when distressed in the relationship between anxiety sensitivity (AS) and depressive symptom severity. A sample of 391 undergraduate students completed a series of questionnaires assessing the constructs of interest. Results provided support for a model where experiential avoidance and difficulties engaging in goal-directed behavior mediate the relationship between the AS dimensions of fear of cognitive dyscontrol and fear of publicly observable anxiety reactions and depressive symptom severity. The ability of this model to distinguish participants (N=53) reporting clinical levels of depression from those without (N=53) was then examined. The model was found to reliably distinguish between participants with and without clinical levels of depression. However, only experiential avoidance was a significant mediator. Implications for research on the role of AS in depression vulnerability and treatment are discussed.