•The influence of anxiety on outcomes in cognitive behavioral group therapy (CBGT) for depression is unclear.•Anxiety sensitivity – the fear of anxiety symptoms due to their perceived harmful effects – is linked to depression, and may be relevant to its treatment.•Greater fear of losing control over one's thoughts was linked to improvements in depression nearing the end of CBGT (weeks 10–14).•Greater fear of the physical effects of anxiety was linked to CBGT non-completion.•Controlling for anxiety sensitivity, women were less likely to complete CBGT compared to men. We examined how anxiety sensitivity – the fear of symptoms of anxiety due to their perceived harmful effects – and gender are associated with treatment trajectory and outcomes in a large outpatient sample (N = 278) who received 14-weeks of cognitive-behavioral group therapy (CBGT) for depression. Three dimensions of anxiety sensitivity (cognitive, physical, and social concerns) and depression were assessed at pre-treatment, and the latter was assessed weekly during treatment. Latent growth curve models supported a link between cognitive concerns (fears of losing control over thoughts) and greater improvement in depression near the end of treatment (i.e., weeks 10–14); gender did not moderate trajectory. Gender (i.e., identifying as a woman) and greater physical concerns (fears of physical consequences of arousal symptoms) were associated with completion of < 8 sessions. Results suggest that those with more cognitive concerns might require greater time in treatment and/or benefit most from the focus on maladaptive assumptions and core beliefs in later CBGT sessions. Future research, including investigation of intervening variables, may elucidate the mechanisms through which greater physical concerns and gender are associated with treatment non-completion. Results supported differential associations of anxiety sensitivity dimensions with depression treatment outcomes, though further research attention is needed.