Problem There is a well-evidenced sex-disparity in physical activity (PA), such that females are significantly less active than males. Anxiety sensitivity, the fear of anxiety-related bodily sensations, is a cognitive-affective vulnerability associated with increased negative affect during PA and lower levels of PA. The current study examined anxiety sensitivity as a potential sex-specific, psychological factor related to sex differences in past-week PA behavior in daily cigarette smokers. Method Participants (n = 527; 53.3% female) completed an anonymous online survey on emotion and health. Anxiety sensitivity was assessed with the Anxiety Sensitivity Index-3. Past-week, self-reported PA minutes were measured across four intensities (e.g., walking, moderate, vigorous, and total PA) using the International Physical Activity Questionnaire-Short. Four zero-inflated negative binomial regression models were constructed to test the main and interactive effects of sex and anxiety sensitivity on PA outcomes. Results Females reported significantly fewer past-week PA minutes relative to males across all domains. At higher levels of anxiety sensitivity, males reported significantly fewer total PA minutes; whereas, total PA levels in females were not dependent on anxiety sensitivity level. Additionally, females with elevated anxiety sensitivity reported significantly more past-week walking minutes relative to females with low anxiety sensitivity, whereas the opposite pattern was observed in males. Conclusion This is the first study to our knowledge to examine sex differences in anxiety sensitivity and PA, at varying PA intensities, among smokers. These data have the potential to inform sex-specific models of anxiety, PA, and smoking.