Background: CBT has been proven to be effective in the treatment of panic disorder; however, attempts to study the process of change are limited. Aim: The study evaluated the temporal patterns of change in the panic symptoms, cognitions, behaviours, and anxiety sensitivity in subjects with panic disorder being treated with CBT. Method: Thirty subjects with panic disorder were allocated to two groups: Cognitive Behaviour Therapy (CBT, n = 15) and Behaviour Therapy (BT, n = 15). Assessments were carried out weekly for five consecutive weeks using the Semi-Structured Interview Schedule, the Anxiety Sensitivity Index, the Agoraphobic Cognitions Questionnaire, and the Texas Panic Attack Record Form. The CBT group received comprehensive CBT and the BT group received psycho-education and Applied Relaxation. Results: Following intervention the change was continuous and gradual on all the variables in the CBT group and the scores reduced to a functional range after 4–5 weeks of therapy. Such a change was not evident in the BT group. Significant change was evident in cognitive domains following the introduction of the exposure and cognitive restructuring within the CBT group. Both cognitive and behavioural techniques contributed to the overall change. Conclusion: CBT had an impact on the cognitive domains and significant changes were evident corresponding to the addition of cognitive restructuring and exposure techniques in the 3rd to 5th week. Both cognitive and behavioural components are therefore crucial for overall improvement to occur.