Anxiety disorders are the most common mental illness in the USA affecting 18% of the population. The cause(s) of anxiety disorders is/are not completely clear, and research in the neurobiology of anxiety at the molecular level is still rather limited. Although mounting clinical and preclinical evidence now indicates that oxidative stress may be a major component of anxiety pathology, whether oxidative stress is the cause or consequence remains elusive. Studies conducted over the past few years suggest that anxiety disorders may be characterised by lowered antioxidant defences and increased oxidative damage to proteins, lipids, and nucleic acids. In particular, oxidative modifications to proteins have actually been proposed as a potential factor in the onset and progression of several psychiatric disorders, including anxiety and depressive disorders. Oxidised proteins are normally degraded by the proteasome proteolytic complex in the cell cytoplasm, nucleus, and endoplasmic reticulum. The Lon protease performs a similar protective function inside mitochondria. Impairment of the proteasome and/or the Lon protease results in the accumulation of toxic oxidised proteins in the brain, which can cause severe neuronal trauma. Recent evidence points to possible proteolytic dysfunction and accumulation of damaged, oxidised proteins as factors that may determine the appearance and severity of psychotic symptoms in mood disorders. Thus, critical interactions between oxidative stress, proteasome, and the Lon protease may provide keys to the molecular mechanisms involved in emotional regulation, and may also be of great help in designing and screening novel anxiolytics and antidepressants.