Anxiety sensitivity (AS) is a multidimensional construct associated with the etiology and maintenance of panic disorder (PD) symptoms. However, only a few studies have evaluated whether cognitive-behavioral group therapy (CBGT) can modify the condition. The objective of this study was to evaluate the impact of CBGT on AS in patients with PD and to analyze AS and its dimensions as predictors of response to CBGT. In the present clinical trial, an intervention group (n = 37) attended 12 CBGT sessions, while a control group (n = 52) did not receive any intervention. The severity of symptoms and of AS were evaluated before and after CBGT in the intervention group and once in the control group. Significant improvement occurred in all specific PD symptoms and in general anxiety and depressive symptoms. Furthermore, AS scores reduced significantly after intervention. This study confirmed that AS is higher in patients with more severe PD. The effectiveness of CBGT for reducing the physical, cognitive, and social dimensions of AS was also observed, supporting the hypothesis of a positive impact of therapy.