In this study, we used structural equation modeling to investigate the interplay among Intolerance of Uncertainty (IU), Anxiety Sensitivity (AS), and sleep problems. Three hundred undergraduate students completed the Intolerance of Uncertainty Scale, the Intolerance of Uncertainty Inventory, the Anxiety Sensitivity Index, the Beck Depression Inventory, the State-Trait Anxiety Inventory, the Pittsburgh Sleep Quality Index and the Insomnia Severity Index. 68% and 40% of the students reported poor sleep quality or sub-threshold insomnia problems, respectively. Depression and anxiety levels were above the cut-off for about one-fourth of the participants. Structural equation modeling revealed that IU was strongly associated with AS, in turn influencing both insomnia severity and sleep quality via depression and anxiety. Significant indirect effects revealed that an anxious pathway was more strongly associated with insomnia severity, while a depression pathway was more relevant for worsening the quality of sleep. We discussed the results in the frameworks of cognitive models of insomnia. Viewing AS and IU as antecedents of sleep problems and assigning to AS a pivotal role, our study suggested indications for clinical interventions on a population at risk for sleep disorders.