This study focused on the understudied group of smokers who commit to a smoking research study and then subsequently drop out before completing even one session of treatment (pre-inclusion attrition). This is an important group typically not examined in their own right, leaving little knowledge about the characteristics that differentiate them from those who complete treatment. As an initial investigation, the current study examined affective risk factors for attrition in a sample of 53 adults (79% African-American; median income=$30,000-$39,999) enrolled in a smoking cessation study. Twenty-one (40%) participants never attended a session of treatment. Results indicated that lower psychological distress tolerance was related to pre-inclusion attrition, but only among women. Additionally, lower physical distress tolerance corresponded to pre-inclusion attrition, but only among men. These effects remained after including other important affective factors such as anxiety sensitivity and current depressive symptoms. No other predictors examined corresponded with pre-inclusion attrition in the present sample. Results indicate the need for more research attention to this at-risk group of smokers who do not continue on to cessation intervention.