BACKGROUND AND OBJECTIVES Distress intolerance (DI) has been identified as a potential risk factor for a variety of maladaptive avoidance behaviors, including worry. However, mechanisms linking DI to specific behaviors remain poorly understood. One hypothesis is that DI is a general vulnerability that confers risk of particular avoidance behaviors via more specific, lower-order vulnerabilities. The current study examined associations between DI and worry-related cognitions. DESIGN A multiple mediator model tested the hypothesis that worry-related variables (intolerance of uncertainty [IU], cognitive avoidance, beliefs about worry, and negative problem orientation) mediated the association between DI and worry. METHODS An undergraduate student (n = 281) and a clinical (n = 123) sample completed self-report measures. RESULTS Across samples, worry was associated with higher levels of DI, IU, cognitive avoidance, beliefs about worry, and negative problem orientation. Mediation results differed somewhat between the two samples. In the undergraduate sample, IU, negative beliefs about worry, and positive beliefs about worry mediated the association between DI and worry. In the clinical sample, negative problem orientation and negative beliefs about worry mediated the association between DI and worry. CONCLUSIONS Results provide initial evidence that DI may be associated with worry via unique risk factors.