Objective Studies have only recently begun to explore the role of interpersonal factors in relation to anxiety sensitivity, a trait that has been hypothesised as a risk factor for the development of anxiety disorders. Therefore, the goal of this research was to further investigate the relations between anxiety sensitivity, worry, generalised anxiety disorder symptoms, and parent and peer attachment, more specifically—perceived parent and peer alienation on a clinical sample for the first time. The mediating role of anxiety sensitivity between perceptions of alienation and current worry and generalised anxiety disorder symptoms was also examined. Methods Analyses were conducted on a total sample of 72 psychiatric patients with diagnosed anxiety or depression disorder, who completed the Generalized Anxiety Disorder Questionnaire‐IV, Penn State Worry Questionnaire, Inventory of Parent and Peer Attachment, and Anxiety Sensitivity Index. All patients were Caucasian, and 48.6% of participants were men (Mage = 44.2 years) and 51.2% were women (Mage = 41.1 years). Results Participants with higher intensity of worry and generalised anxiety disorder symptoms reported higher perceptions of being alienated only from their peers. Also, anxiety sensitivity mediated the relation between perceptions of alienation from peers and worry and generalised anxiety disorder symptoms. Conclusion Perceptions of peer rather than parent alienation appear to be a salient construct in relation to the present levels of anxiety sensitivity, uncontrollable worry, and generalised anxiety disorder symptoms in individuals with a diagnosis of mental illness. Implications for cognitive–behavioural therapy practitioners are also shortly discussed.