Anxiety is the most prevalent psychiatric disorder worldwide, causing a substantial economic burden due to the associated healthcare costs. Given that commercial anxiolytic treatments may cause important side effects and have medical restrictions for prescription and high costs, the search for new natural and safer treatments is gaining attention. Since lupin protein hydrolysate (LPH) has been shown to be safe and exert anti-inflammatory and antioxidant effects, key risk factors for the anxiety process and memory impairment, we evaluated in this study the potential effects of LPH on anxiety and spatial memory in a Western diet (WD)-induced anxiety model in ApoE−/− mice. We showed that 20.86% of the 278 identified LPH peptides have biological activity related to anxiolytic/analgesic effects; the principal motifs found were the following: VPL, PGP, YL, and GQ. Moreover, 14 weeks of intragastrical LPH treatment (100 mg/kg) restored the WD-induced anxiety effects, reestablishing the anxiety levels observed in the standard diet (SD)-fed mice since they spent less time in the anxiety zones of the elevated plus maze (EPM). Furthermore, a significant increase in the number of head dips was recorded in LPH-treated mice, which indicates a greater exploration capacity and less fear due to lower levels of anxiety. Interestingly, the LPH group showed similar thigmotaxis, a well-established indicator of animal anxiety and fear, to the SD group, counteracting the WD effect. This is the first study to show that LPH treatment has anxiolytic effects, pointing to LPH as a potential component of future nutritional therapies in patients with anxiety.