To investigate the cross-sectional associations among self-reported weekly strenuous exercise bouts, anxiety sensitivity, and their interaction with pain catastrophizing and pain responses to the cold pressor task (CPT) in healthy, ethnically diverse young adults (n = 79). Exercise involvement has been shown to have hypoalgesic effects and cognitive factors may partially explain this effect. Particularly, alterations in pain catastrophizing have been found to mediate the positive pain outcomes of multidisciplinary treatments incorporating exercise. Further, recent evidence suggests that exercise involvement and anxiety sensitivity may act together, as interacting factors, to exert an effect on catastrophizing and pain outcomes; however, further research is needed to clarify the nature of this interaction. Before the CPT, participants were asked to complete the Godin Leisure-Time Exercise Questionnaire, the Beck Depression Inventory, and the Anxiety Sensitivity Index. After the CPT, participants completed a modified version of the Pain Catastrophizing Scale and the Short Form-McGill Pain Questionnaire. At a high level of anxiety sensitivity, controlling for depressive symptoms, CPT immersion time, and sex differences, a bias-corrected (BC), bootstrapped confidence interval revealed that pain catastrophizing significantly mediated the relationship between self-reported weekly strenuous exercise bouts and pain response (95% BC Confidence Interval = -9.558, -0.800 with 1000 resamples). At intermediate and low levels of anxiety sensitivity, no significant mediation effects were found. These findings support that, for pain catastrophizing to mediate the strenuous exercise-pain response relation, individuals must possess a high level of anxiety sensitivity.