Anxiety sensitivity (AS; fear of anxiety and internal sensations) has been implicated in a variety of aspects of smoking, including difficulties achieving and maintaining abstinence during tobacco cessation. However, research has yet to evaluate whether AS impacts premature termination of initiating a quit attempt. Therefore, the aim of the present investigation was to explore the extent to which AS was associated with tobacco cessation dropout, as indexed by attendance on the scheduled quit day visit. Participants included 84 adult daily cigarette smokers (61.7% male; Mage = 34.6 years, SD = 13.9), who were recruited to participate in a self-guided quit attempt (an attempt to quit smoking without professional or pharmacological aid). Results indicated that after controlling for the effects of participant sex, race, current (past month) psychological disorder, cigarettes smoked per day, number of years as a regular smoker, and pre-quit levels of motivation to quit, AS significantly predicted increased odds of study dropout prior to attending the scheduled quit day. These findings suggest that AS may be a mechanism involved with challenges in the initiation of quitting.