Pharmacological inhibitors and knockout mice have developed into routine tools to analyze the role of specific genes in behavior. Both strategies have limitations like the availability of inhibitors for only a subset of proteins and the large efforts required to construct specific mouse mutants. The recent emergence of RNA interference (RNAi)-mediated gene silencing provides a fast alternative that can be applied to any coding gene. We established an approach for the efficient generation of transgenic knockdown mice by targeted insertion of short hairpin (sh) RNA vectors into a defined genomic locus and studied the efficiency of gene silencing in the adult brain and the utility of such mice for behavioral analysis. We generated shRNA knockdown mice for the corticotropin-releasing hormone receptor type 1 (Crhr1), the leucine-rich repeat kinase 2 (Lrkk2) and the purinergic receptor P2X ligand-gated ion channel 7 (P2rx7) genes and show the ubiquitous expression of shRNA and efficient suppression of the target mRNA and protein in the brain of young and 11-month-old knockdown mice. Knockdown mice for the Crhr1 gene exhibited decreased anxiety-related behavior, an impaired stress response, and thereby recapitulate the phenotype of CRHR1 knockout mice. Our results show the feasibility of gene silencing in the adult brain and validate knockdown mice as new genetic models suitable for behavioral analysis.