A substantial body of literature suggests that anxiety sensitivity is a risk factor for the development of anxiety problems and research has now begun to examine the links between parenting, parent anxiety sensitivity and their child’s anxiety sensitivity. However, the extant literature has provided mixed findings as to whether parent anxiety sensitivity is associated with child anxiety sensitivity, with some evidence suggesting that other factors may influence the association. Theoretically, specific parenting behaviors may be important to the development of child anxiety sensitivity and also in understanding the association between parent and child anxiety sensitivity. In this study, 191 families (n = 255 children and adolescents aged 6–17 and their parents) completed measures of child anxiety sensitivity (CASI) and parenting (APQ-C), and parents completed measures of their own anxiety sensitivity (ASI) and their parenting (APQ-P). Corporal punishment was associated with child anxiety sensitivity and the child’s report of their parent’s positive parenting behaviors moderated the association between parent and child anxiety sensitivity. The child’s gender was also found to moderate the association between parent and child anxiety sensitivity, such that there was a positive association between girls’ and their parents anxiety sensitivity and a negative association in boys. The findings advance the understanding of child anxiety sensitivity by establishing a link with corporal punishment and by showing that the association between parent and child anxiety sensitivity may depend upon the parenting context and child’s gender.