When making behavioural decisions, individuals need to balance between exploiting known options or exploring new ones. How individuals solve this exploration-exploitation dilemma (EED) is a key research question across psychology, leading to attempting to disentangle the cognitive mechanisms behind it. A potential predictive factor of performance in an EED is intolerance of uncertainty (IU), an individual difference factor referring to the extent to which uncertain situations are reported to be aversive. Here, we present the results of a series of exploratory analyses in which we tested the relationship between IU and performance in an EED task. For this, we compiled data from 3 experiments, in which participants received the opportunity to exploit different movements in order to avoid a painful stimulus and approach rewards. For decomposing performance in this task, we used different computational models previously employed in studies on the EED. Then, the parameters of the winning model were correlated with the scores of participants in the IU scale. Correlational and cluster analyses, within both frequentists and Bayesian frameworks, did not provide strong evidence for a relation between EED and IU, apart from the decay rate and the subscale “tendency to become paralyzed in the face of uncertainty”. Given the theoretical relation between EED and IU, we propose research with different experimental paradigms.