Changes in sphingolipid metabolism have been suggested to contribute to the pathophysiology of major depression. In this study, we investigated the activity of acid and neutral sphingomyelinases (ASM, NSM) and ceramidases (AC, NC), respectively, in twelve brain regions of female rats selectively bred for high (HAB) versus low (LAB) anxiety-like behavior. Concomitant with their highly anxious and depressive-like phenotype, HAB rats showed increased activity of ASM and NSM as well as of AC and NC in multiple brain regions associated with anxiety- and depressive-like behavior, including the lateral septum, hypothalamus, ventral hippocampus, ventral and dorsal mesencephalon. Strong correlations between anxiety-like behavior and ASM activity were found in female HAB rats in the amygdala, ventral hippocampus and dorsal mesencephalon, whereas NSM activity correlated with anxiety levels in the dorsal mesencephalon. These results provide novel information about the sphingolipid metabolism, especially about the sphingomyelinases and ceramidases, in major depression and comorbid anxiety.