Anxiety sensitivity (AS) is an established cognitive risk factor for anxiety disorders. In children and adolescents, AS is usually measured with the Childhood Anxiety Sensitivity Index (CASI). Factor analytic studies suggest that the CASI is comprised of 3 lower‐order factors pertaining to Physical, Psychological and Social Concerns. There has been little research on the validity of these lower‐order factors. We examined the concurrent and incremental validity of the CASI and its lower‐order factors in a non‐clinical sample of 349 children and adolescents. CASI scores predicted symptoms of DSM‐IV anxiety disorder subtypes as measured by the Spence Children's Anxiety Scale (SCAS) after accounting for variance due to State‐Trait Anxiety Inventory scores. CASI Physical Concerns scores incrementally predicted scores on each of the SCAS scales, whereas scores on the Social and Psychological Concerns subscales incrementally predicted scores on conceptually related symptom scales (e.g. CASI Social Concerns scores predicted Social Phobia symptoms). Overall, this study demonstrates that there is added value in measuring AS factors in children and adolescents.