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The Intolerance of Uncertainty Model (IUM) of Generalized Anxiety Disorder (GAD) attributes a key role to Intolerance of Uncertainty (IU), and additional roles to Positive Beliefs about Worry (PBW), Negative Problem Orientation (NPO), and Cognitive Avoidance (CA), in the development and maintenance of worry, the core feature of GAD. Despite the role of the IUM components in worry and GAD has been considerably demonstrated, to date no studies have explicitly assessed whether and how PBW, NPO, and CA might turn IU into worry and somatic anxiety. The current studies sought to re-examine the IUM by assessing the relationships between the model’s components on two different non-clinical samples made up of UK and Italian undergraduate students. One-hundred and seventy UK undergraduates and 488 Italian undergraduates completed measures assessing IU, worry, somatic anxiety, depression, and refined measures of NPO, CA, and PBW. In each sample, two mediation models were conducted in order to test whether PBW, NPO, and CA differentially mediate the path from IU to worry and the path from IU to somatic anxiety. Secondly, it was tested whether IU also moderates the mediations. Main findings showed that, in the UK sample, only NPO mediated the path from IU to worry; as far as concern the path to anxiety, none of the putative mediators were significant. Differently, in the Italian sample PBW and NPO were mediators in the path from IU to worry, whereas only CA played a mediational role in the path from IU to somatic anxiety. Lastly, IU was observed to moderate only the association between NPO and worry, and only in the Italian sample. Some important cross-cultural, conceptual, and methodological issues raised from main results are discussed.