Drawing on research and theory from the social identity, stereotyping, stress and coping, and personality literatures, we review research that uses a common theoretical framework (rejection sensitivity; RS) to explore the mechanisms through which stigmatization on the basis of race, gender, sexual orientation, and age affects and shapes the life experiences of targets of stigmatization. Rejection Sensitivity is conceptualized as a cognitive-affective processing dynamic borne out of past experiences of rejection and maltreatment, and leading to situationally activated anxious expectations of rejection in current contexts. Applied to the context of identity-based stigmatization, we present a review of empirical research aimed at exploring the underlying mechanism by which exposure to cues of identity-based marginalization activates the RS dynamic and leads to variations in perceptions and coping with threat among members of stigmatized groups. We review the RS literature applied to African Americans, Asian Americans, women, gay men, and the elderly.