Intolerance of Uncertainty is a fundamental transdiagnostic personality construct hierarchically organized with a core general factor underlying diverse clinical manifestations. The current study evaluated the construct validity of the Intolerance of Uncertainty Inventory, a two-part scale separately assessing a unitary Intolerance of Uncertainty disposition to consider uncertainties to be unacceptable and threatening (Part A) and the consequences of such disposition, regarding experiential avoidance, chronic doubt, overestimation of threat, worrying, control of uncertain situations, and seeking reassurance (Part B). Community members (N = 1046; Mean age = 36.69 ± 12.31 years; 61% females) completed the Intolerance of Uncertainty Inventory with the Beck Depression Inventory-II and the State-Trait Anxiety Inventory. Part A demonstrated a robust unidimensional structure and an excellent convergent validity with Part B. A bifactor model was the best fitting model for Part B. Based on these results, we compared the hierarchical factor scores with summated ratings clinical proxy groups reporting anxiety and depression symptoms. Summated rating scores were associated with both depression and anxiety and proportionally increased with the co-occurrence of depressive and anxious symptoms. By contrast, hierarchical scores were useful to detect which facets mostly separated between for depression and anxiety groups. In sum, Part A was a reliable and valid transdiagnostic measure of Intolerance of Uncertainty. The Part B was arguably more useful for assessing clinical manifestations of Intolerance of Uncertainty for specific disorders, provided that hierarchical scores are used. Overall, our study suggest that clinical assessments might need to shift toward hierarchical factor scores.