Anxiety sensitivity (AS) was originally proposed as a specific vulnerability factor for panic disorder and anxiety. The specificity of this relationship has been questioned because AS has also been found to be associated with depressive symptomatology. Data from the Dresden Study of Mental Health, which utilized a large community sample (N = 1867) of young German women, were used to investigate whether AS possesses specificity to anxiety-related psychopathology versus depression-related psychopathology when specific disorders were utilized as dependent variables. Participants completed a diagnostic interview as well as self-report measures of AS and neuroticism. Logistic regression analyses that statistically adjusted for neuroticism indicated that elevated AS had significant positive associations with several anxiety disorders, but was not significantly associated with major depressive disorder or dysthymia. These findings are generally consistent with those of previous studies that utilized self-reports of psychopathology and they support the hypothesis that AS is a specific vulnerability for panic and anxiety. However, when the lower-order components of AS were considered a more complex pattern of findings emerged, including significant positive associations between depression and both the Physical Concerns and Social Concerns components of AS.