Background: Panic attacks and anticipatory anxiety are considered to be inter-correlated, yet distinctive, features of panic disorder, both contributing to its onset and maintenance as well as to the associated impairment. Given the difficulty to yield ecologically valid data on these fluctuating symptoms the natural course of anticipatory anxiety and its correlates have seldom been addressed with adequate methods. Aims: The current study aimed at further exploring the natural variance of anticipatory anxiety and its interdependence with panic-related variables. In addition, impact of anxiety sensitivity, and perceived ability to cope with panic on the relation between panic attacks and subsequent anxiety was inspected. Method: Based on an Ecological Momentary Assessment approach, 21 patients with panic disorder rated study variables continuously over one week; 549 question sets were completed. Results: Anticipatory anxiety followed a diurnal pattern and was associated with situational and internal variables typically linked to panic experiences. Preceding panic attacks intensified anticipatory anxiety and associated negative emotional states; however, perceived ability to cope attenuated these effects. Conclusion: Based on natural observation data, results largely support the importance of cognitive appraisals for anticipatory anxiety, and its interplay with panic attacks as it has been suggested by cognitive theory and recent findings in extinction learning research.