Context conditioning is characterized by unpredictable threat and its generalization may constitute risk factors for panic disorder (PD). Therefore, we examined differences between individuals with panic attacks (PA; N = 21) and healthy controls (HC, N = 22) in contextual learning and context generalization using a virtual reality (VR) paradigm. Successful context conditioning was indicated in both groups by higher arousal, anxiety and contingency ratings, and increased startle responses and skin conductance levels (SCLs) in an anxiety context (CTX+) where an aversive unconditioned stimulus (US) occurred unpredictably vs. a safety context (CTX-). PA compared to HC exhibited increased differential responding to CTX+ vs. CTX- and overgeneralization of contextual anxiety on an evaluative verbal level, but not on a physiological level. We conclude that increased contextual conditioning and contextual generalization may constitute risk factors for PD or agoraphobia contributing to the characteristic avoidance of anxiety contexts and withdrawal to safety contexts and that evaluative cognitive process may play a major role.