Intolerance of uncertainty (IU) is defined as the tendency to react negatively on an emotional, cognitive, and behavioral level to uncertain situations and events. However, this definition is somewhat categorical and does not explain the phenomenology of IU. Intolerance of uncertainty scale (IUS), the standard measure of IU, was considered to have two factors : 'unacceptability and avoidance of uncertainty' and 'uncertainty leading to the inability to act'. IU may be a cognitive vulnerability factor for clinical worry and generalized anxiety disorder (GAD). A number of moderators and mediators including cognitive avoidance, experiential avoidance and rumination influence the relationship between IU, worry, obsessive-compulsive symptoms, anxious and depressive symptoms. IU may be more strongly related to the symptoms of GAD than to symptoms of other anxiety disorders including obsessive-compulsive disorder (OCD), and major depressive disorder. IU may serve as an important transdiagnostic feature across anxiety and depressive disorders. Incorporating IU-specific treatment components into therapeutic protocols may result in pervasive benefits, and not only for those with GAD or OCD, but for people with any anxiety disorder or with depression.