<i>Background:</i> In this study the effects of treatment with cognitive therapy, antidepressants or pill-placebo on the locus of control orientation in panic disorder patients were analysed, as well as the relation of this panic locus of control with panic frequency and cognitive measures of panic. <i>Methods:</i> A Multidimensional Anxiety Locus of Control scale (MALC) was developed and completed with other measures (ACQ and BSQ) before and after treatment. Patients also kept a panic diary. <i>Results:</i> Four subscales were derived from the MALC: one Internal, and three external (a Chance, a Medication, and a Therapist) locus of anxiety control orientation scales. Cognitive therapy was superior over pill-placebo on most outcome measures whereas antidepressants were only superior in reducing the number of panic attacks. Treatment with cognitive therapy resulted in an increase of ‘internal’ anxiety control orientation and a decrease of ‘chance’ and ‘medication’ orientation, in comparison with antidepressant therapy. The residualized gain scores on the MALC subscales correlated with clinical improvement in subjects treated with cognitive therapy only. <i>Conclusions:</i> Results suggest that the locus of control orientation is important in evaluating the differential effects of treatments in panic disorder. A differential effect on panic locus of control in favor of cognitive therapy in comparison to medication was found.