Laboratory rats learn to fear relatively innocuous stimuli which signal the imminent arrival of an innate source of danger, typically brief but aversive foot shock. Much is now known about the neural substrates underlying the acquisition, consolidation and subsequent expression of this fear. Rats also learn to fear stimuli which signal learned sources of danger but relatively little is known about the neural substrates underlying this form of fear. Two Pavlovian conditioning paradigms used to study this form of fear are second-order conditioning and sensory preconditioning. In second-order conditioning, rats are first exposed to a signaling relationship between one stimulus, such as a tone, and aversive foot shock, and then to a signaling relationship between a second stimulus, such as a light, and the now dangerous tone. In sensory preconditioning, these phases are reversed: rats are first exposed to a signaling relationship between the light and the tone and then to a signaling relationship between the tone and the foot shock. In both paradigms, rats exhibit fear when tested with the light. In this review paper, we describe the evidence for higher-order forms of conditioning, the conditions which promote this learning and its contents. We compare and contrast the substrates of the learning underlying second-order and sensory preconditioning fear with those known to underlie the better studied first-order conditioned fear. We conclude with some comments as to the role of higher-order processes in anxiety disorders.