Individuals with elevated levels of anxiety sensitivity (AS) may be motivated to avoid aversive emotional or physical states, and therefore may have greater difficulty achieving healthy behavioral change. This may be particularly true for exercise, which produces many of the somatic sensations within the domain of AS concerns. Cross-sectional studies show a negative association between AS and exercise. However, little is known about how AS may prospectively affect attempts at behavior change in individuals who are motivated to increase their exercise. We recruited 145 young adults who self-identified as having a desire to increase their exercise behavior. Participants completed a web survey assessing AS and additional variables identified as important for behavior change—impulsivity, grit, perceived behavioral control, and action planning—and set a specific goal for exercising in the next week. One week later, a second survey assessed participants’ success in meeting their exercise goals. We hypothesized that individuals with higher AS would choose lower exercise goals and would complete less exercise at the second survey. AS was not significantly associated with exercise goal level, but significantly and negatively predicted exercise at Time 2 and was the only variable to offer significant prediction beyond consideration of baseline exercise levels. These results underscore the importance of considering AS in relation to health behavior intentions. This is particularly apt given the absence of prediction offered by other traditional predictors of behavior change.