In the presence of asthma, the risk of having an anxiety disorder is increased twofold. The few trials conducted on cognitive behavior therapy (CBT) for anxiety and asthma have mainly targeted panic disorder, and with mixed results. Experimental laboratory research indicates that increased anxiety may lead to hypervigilance toward asthma. Hence, fear and avoidance associated with increased anxiety due to asthma may be an important treatment target. A treatment that learn participants to differentiate between anxiety and asthma through gradual exposure to situations that risk triggering anxiety for asthma may be a possible avenue. As a first step to investigate this issue further, we developed a 10-week exposure-based CBT protocol for anxiety related to asthma and tested it in six participants using multivariate baseline design with repeated assessments throughout treatment. All participants reported satisfaction with treatment, as well as subjective overall improvement after treatment. Visual analysis, using graphs over each individual's trajectory, as well as potential efficacy on group level analyzing standardized mean change, indicated improvements in important outcomes. We conclude that exposure-based CBT is feasible and may improve anxiety related to asthma. Further investigation under randomized controlled trial conditions is warranted.