The benefits of mindfulness-based interventions to alleviate anxiety and depression have been supported by many studies. Given the effectiveness of mindfulness-based interventions on anxiety and depression, the underlying mechanisms need to be explored. Using a randomized waitlist-controlled design, this study investigated whether anxiety sensitivity was a potential mechanism for the impact of mindfulness training on anxiety and depression. Participants with high psychological distress were randomly assigned to an eight-week mindfulness intervention (N = 35) or a wait-list control group (N = 34). Before and after the intervention or corresponding waitlist period, participants completed measures of anxiety and depression severity and impairment and anxiety sensitivity. Separate mixed ANOVA demonstrated significant group (intervention vs. control group) × time (pre- vs. post-test) interactions for anxiety sensitivity and overall anxiety severity and impairment and marginally significant interaction for overall depression severity and impairment. Moreover, simple mediation models showed that reductions of anxiety sensitivity from pre- to post-test mediated the impact of mindfulness training on changes in anxiety and depression severity and impairment. The findings suggest that anxiety sensitivity is a potential mechanism underlying the effect of mindfulness training on anxiety and depression, which provides a new perspective for the study of processes of change of mindfulness-based interventions.