Neuropeptide Y (NPY) has been implicated in the pathophysiology of certain mood disorders, including depression and anxiety. It is, however, not known which of the five cloned NPY receptors mediate these functions. We investigated the effect of Y2 receptor deletion on anxiety and stress‐related behaviours. In the elevated plus maze, Y2 knock out (Y2^−/−) mice showed a 2.7‐fold higher frequency of entering into, and spent 3.8 times more time within, the open arms compared to controls, while entries into the closed arms did not differ. Similarly Y2^−/− mice entered the central area of the open field 1.7 times more frequently and also spent 1.8 times more time there. In the light/dark test Y2^−/− mice had a 4.8‐fold lower latency to enter the lit area but stayed there 2.6 times longer than control mice. Y2^−/− mice displayed 3.2‐fold less immobility in the forced swim test, indicating improved stress coping ability. Y2 receptors are predominantly located presynaptically where they mediate feedback inhibition of neurotransmitter release. Deletion of these receptors may result in enhanced release of NPY, GABA and/or glutamate in brain areas linked to the manifestation of anxiety, and stress‐related behaviour such as the amygdala. Taken together, deletion of the Y2 receptor has revealed an important role of Y2 receptors in the generation of anxiety‐related and stress‐related behaviours in mice.