The purpose of the study was to examine whether changes in pCO(2) mediate changes in fear of bodily sensation (as indexed by anxiety sensitivity) in a bio-behavioral treatment for panic disorder that targets changes in end-tidal pCO(2). Thirty-five panic patients underwent 4 weeks of capnometry-assisted breathing training targeting respiratory dysregulation. Longitudinal mediation analyses of the changes in fear of bodily symptoms over time demonstrated that pCO(2), but not respiration rate, was a partial mediator of the changes in anxiety sensitivity. Results were supported by cross lag panel analyses, which indicated that earlier pCO(2) levels predicted later levels of anxiety sensitivity, but not vice versa. PCO(2) changes also led to changes in respiration rate, questioning the importance of respiration rate in breathing training. The results provide little support for changes in fear of bodily sensations leading to changes in respiration, but rather suggest that breathing training targeting pCO(2) reduced fear of bodily sensations in panic disorder.