Past research suggests that sense of humor may play a role in anxiety. The present study builds upon this work by exploring how individual differences in various humor styles, such as affiliative, self-enhancing, and self-defeating humor, may fit within a contemporary research model of anxiety. In this model, intolerance of uncertainty is a fundamental personality characteristic that heightens excessive worry, thus increasing anxiety. We further propose that greater intolerance of uncertainty may also suppress the use of adaptive humor (affiliate and self-enhancing), and foster the increased use of maladaptive self-defeating humor. Initial correlational analyses provide empirical support for these proposals. In addition, we found that excessive worry and affiliative humor both served as significant mediators. In particular, heightened intolerance of uncertainty lead to both excessive worry and a reduction in affiliative humor use, which, in turn, increased anxiety. We also explored potential humor mediating effects for each of the individual worry content domains in this model. These analyses confirmed the importance of affiliative humor as a mediator for worry pertaining to a wide range of content domains (e.g., relationships, lack of confidence, the future and work). These findings were then discussed in terms of a combined model that considers how humor styles may impact the social sharing of positive and negative emotions.