An initial test of the initiation–termination model of worry was conducted in a sample of 51 individuals (half of whom had at least one anxiety disorder). On multiple occasions each day, participants were prompted to answer a variety of questions regarding their worrying. Worrying about new topics was presumed to reflect ease of worry initiation, whereas continuing to worry about the same topics and the duration of worrying were presumed to reflect difficulty with worry termination. Results aggregated across the sampling period revealed that worry initiation and termination incrementally predicted global worry and anxiety severity and were differentially associated with depression severity and emotion-induced blindness. Multilevel modeling indicated that, within participants, worry initiation and termination were differentially associated with the perceived costs of undesirable outcomes and with worry beliefs.