© 2016, The Author(s). Guided by a recent theory that proposes fundamental differences in how autistic individuals deal with uncertainty, we investigated the extent to which the cognitive construct ‘intolerance of uncertainty’ and anxiety were related to parental reports of sensory sensitivities in 64 autistic and 85 typically developing children aged 6–14 years. Intolerance of uncertainty and anxiety explained approximately half the variance in autistic children’s sensory sensitivities, but only around a fifth of the variance in typical children’s sensory sensitivities. In children with autism only, intolerance of uncertainty remained a significant predictor of children’s sensory sensitivities once the effects of anxiety were adjusted for. Our results suggest intolerance of uncertainty is a relevant construct to sensory sensitivities in children with and without autism.