The present study examined the moderating effect of cigarette smoking status on the relation between anxiety sensitivity (fear of the expected negative consequences of anxiety and bodily sensations) and hazardous alcohol consumption, sexual compulsivity, and suicidality. A series of multiple hierarchical regressions were used to test the proposed hypothesis among a sample of 94 persons living with HIV/AIDS in the USA (64.5 % male, M (age) = 48.3, SD = 7.5). Fifty-seven percent of the participants (n = 54) reported past-month smoking. The results indicated that those who reported smoking and had higher anxiety sensitivity demonstrated the highest rates of hazardous alcohol use, sexual compulsivity, and suicidality. Simple slope analyses indicated that anxiety sensitivity was associated with higher rates of hazardous alcohol use, sexual compulsivity, and suicidality among individuals who reported past-month smoking, but not among individuals who did not smoke. The present results suggest that smoking status moderates the relation between anxiety sensitivity and hazardous alcohol use, sexual compulsivity, and suicidality among persons living with HIV/AIDS. These data add to a growing literature, suggesting that smoking has a negative impact among persons living with HIV/AIDS, which extends beyond physical health problems to a variety of clinically significant behavioral health sequelae.