The aim of this study was to investigate whether the preference for a palatable high-fat diet (HFD) is associated with response to novelty and with anxiety-like behavior in rats and whether such fat preference correlates with gene expression of hypothalamic neuropeptides related to feeding. We subjected male rats to two tests of exploration of novel environments: the multivariate concentric square field (MCSF) and the elevated plus maze (EPM). The rats were then exposed to a 5-day test of preference for a palatable HFD versus reference diets. Messenger RNA (mRNA) levels of 21 neuropeptides were investigated by quantitative polymerase chain reaction. We found a strong positive correlation of HFD preference and open-arm activity in the EPM (% open-arm time, r(s) = 0.629, df = 26, P < 0.001). Thus, HFD preference was inversely associated with anxiety-like behavior. The same association was found for HFD preference and behavior in the MCSF (bridge entries, r(s) = 0.399, df = 23, P = 0.048). In addition, the HFD preference was positively correlated (r(s) = 0.433, df = 25, P = 0.021) with hypothalamic mRNA levels of urocortin 2 (Ucn 2). Moreover, behavior in the EPM was significantly correlated with expression levels of the receptor for Ucn 2, the corticotropin-releasing factor receptor 2, in the hypothalamus (r(s) = 0.382, df = 33, P = 0.022, pituitary (r(s) = 0.494, df = 31, P = 0.004) and amygdala (r(s) = 0.381, df = 30, P = 0.032). We conclude that preference for palatable HFD is inversely associated with anxiety and propose that Ucn 2 signaling may play a role in this association.