The effects of fish oil for improving mental health have been reported. The present study was undertaken to compare the effects of eicosapentaenoic acid (EPA) and docosahexaenoic acid (DHA) on anxiety-like behavior using a rat model. Experimental diets enriched in EPA or DHA as glycerides were prepared. Rats were exposed to social isolation stress and fed the experimental diet for 14 days. The results of behavioral tests revealed that rats fed the EPA-enriched diet exhibited less anxiety-like behavior than rats fed the control or DHA-enriched diets. Furthermore, EPA suppressed anxiety-like behavior only in socially isolated rats. The increase in EPA contents in the brain phospholipid fraction by feeding EPA-enriched diet was more significant than that of DHA by feeding DHA-enriched diet. These results suggest that dietary EPA is more anxiolytic than DHA in rats exposed to social isolation stress and is effective in increasing EPA content in brain membranes.