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Cognitive models of anxiety disorders propose that certain cognitive constructs, that is, underlying beliefs and cognitive processes, may be specific for particular disorders. In this article, we review the specificity of four representative cognitive constructs—anxiety sensitivity, pathological worry, intolerance of uncertainty, and thought-action fusion—for particular disorders. Conceptual overlap, inconsistent definitions, and insufficient consideration of the components of these constructs are limitations of the existing literature. We suggest that the constructs are unlikely to be pathognomonic for any given disorder or to occur in isolation. Rather, the association of each cognitive construct is evident, to varying degrees, with different disorders. Relative to other disorders, anxiety sensitivity is to a certain extent specific for panic disorder, as are pathological worry for generalized anxiety disorder, intolerance of uncertainty for generalized anxiety disorder and obsessive-compulsive disorder, and thought-action fusion for obsessive-compulsive disorder. We discuss the implications of these findings for diagnostic systems and treatment, and suggest areas for further research.