To investigate the relationships among sensory processing sensitivity, an approach-oriented cognitive style, intolerance of uncertainty, and anxiety, this study recruited 506 participants. Participants were evaluated using the Highly Sensitive Person scale, the Implicit Maladaptive Cognitive Style Questionnaire, the short version of the Intolerance of Uncertainty Scale, and the Generalized Anxiety Questionnaire. The findings revealed that sensory processing sensitivity positively predicted anxiety; intolerance of uncertainty partially mediated the association between sensory processing sensitivity and anxiety; and, furthermore, an approach-oriented cognitive style in conjunction with intolerance of uncertainty served as chain mediators in the relationship between sensory processing sensitivity and anxiety. These results suggest that future interventions aimed at reducing anxiety in high sensitivity persons may be effective by targeting reductions in both an approach-oriented cognitive style and intolerance of uncertainty.