Individuals with complicated grief are at elevated risk of suicidal thoughts. Anxiety sensitivity has recently emerged as a risk factor of suicide. This study aimed to investigate a possible association between anxiety sensitivity and a wish to die in individuals with complicated grief. Participants were evaluated for participation in a treatment study and completed an ancillary questionnaire-based study. Participants were 51 bereaved adults evaluated (age: mean, 54 [SD, 13.6] years; 78% [n = 40] women). Logistic regression was used to examine the relationship between anxiety sensitivity and a wish to die. Overall, anxiety sensitivity was associated with a wish to die at the level of a medium effect size, although it did not reach statistical significance. The anxiety sensitivity social concerns subscale was significantly associated with a wish to die. These findings add to a growing literature implicating anxiety sensitivity in reporting a wish to die.