Since its emergence in the early 1990s, a narrow but concentrated body of research has developed examining the role of intolerance of uncertainty (IU) in worry, and yet we still know little about its phenomenology. In an attempt to clarify our understanding of this construct, this paper traces the way in which our understanding and definition of IU have evolved throughout the literature. This paper also aims to further our understanding of IU by exploring the latent variables measures by the Intolerance of Uncertainty Scale (IUS; Freeston, Rheaume, Letarte, Dugas & Ladouceur, 1994). A review of the literature surrounding IU confirmed that the current definitions are categorical and lack specificity. A critical review of existing factor analytic studies was carried out in order to determine the underlying factors measured by the IUS. Systematic searches yielded 9 papers for review. Two factors with 12 consistent items emerged throughout the exploratory studies, and the stability of models containing these two factors was demonstrated in subsequent confirmatory studies. It is proposed that these factors represent (i) desire for predictability and an active engagement in seeking certainty, and (ii) paralysis of cognition and action in the face of uncertainty. It is suggested that these factors may represent approach and avoidance responses to uncertainty. Further research is required to confirm the construct validity of these factors and to determine the stability of this structure within clinical samples.