Relations among Neuroticism, anxiety sensitivity (AS) thoughts, and anxiety symptoms were examined in this study using an experience-sampling methodology. Daily AS thoughts and anxiety symptoms arising from naturally-occurring negative events were assessed among 100 participants over a 1 month period. Neuroticism moderated the relation between anxiety symptoms and AS thoughts such that individuals high on Neuroticism reported more AS thoughts on days when high (rather than low) anxiety was experienced. Conversely, the relation between anxiety and AS thoughts on a daily basis was weaker for low Neuroticism individuals. Consistent with previous research, elevated levels of AS thoughts on any particular day were associated with increased subsequent anxiety symptoms. The present findings highlight the importance of elucidating psychopathological processes associated with AS and anxiety not only at the interindividual level, but also at the intraindividual level.