The COVID-19 pandemic has resulted in unprecedented consequences. Transdiagnostic factors, such as anxiety sensitivity, could be an important component to understand how individuals experience COVID-19 specific fear, depression and anxiety. A US representative sample (5,023) completed measures including the Anxiety Sensitivity Index-3, the Fear of COVID-19 Scale, the Generalized Anxiety Disorder-7 and the Patient Health Questionnaire-8. Analyses controlled for age, sex, race, marital status, education level, working status, household income, and COVID-19 exposure. Results were consistent with prediction. First, higher ASI-3 Total scores were associated with above average COVID-19 fear (beta = 0.19). Second, the ASI-3 physical concerns subscale was the strongest predictor of COVID-19 fear; one SD increase on the ASI-3 physical concerns subscale was associated with almost a twofold risk of reaching above average levels of COVID-19 (OR = 1.93). Third, higher ASI-3 Total scores were associated with higher anxiety (beta = 0.22) and depression (beta = 0.20). Finally, COVID-19 fear mediated the relationship between ASI-3 Total scores and anxiety (17% of effect mediated) as well as ASI-3 Total scores and depression (16% of effect mediated). These data support the role of anxiety sensitivity in predicting fear of COVID-19 and resulting mental health.