Anxiety sensitivity, the fear of physiological arousal sensations, has been linked to lower sexual frequency, poorer sexual function, and greater sexual anxiety. The current study assessed whether anxiety sensitivity specific to the sexual context, termed sexual anxiety sensitivity, was linked to a wide range of indicators of sexual well-being over and above associations accounted for by general anxiety sensitivity. As a first step, we developed the Sexual Anxiety Sensitivity Inventory (SASI). Participants were 484 adults aged 19 to 60 years old who completed an on-line survey. To develop the SASI, we constructed parallel items to those on the Anxiety Sensitivity Scale-3 (ASI-3; Taylor et al., 2007). The SASI demonstrated the same three-factor structure as the ASI-3 and showed high internal consistency providing evidence for its reliability. As predicted, sexual anxiety sensitivity was significantly associated with all ten of the markers of the behavioral, cognitive-affective, and functional domains of sexual well-being assessed and six of these associations remained significant after controlling for general anxiety sensitivity. The results provide evidence that sexual anxiety sensitivity is an important construct for understanding individuals' sexual well-being and provide initial evidence that the specificity of the SASI has value as a reliable and valid measure for assessing sex-related anxiety sensitivity. Implications for clinicians and researchers are discussed.