Multiple sclerosis (MS) causes a variety of motor and sensory deficits and it is also associated with mood disturbances. It is unclear if anxiety and depression in MS entirely reflect a subjective reaction to a chronic disease causing motor disability or rather depend on specific effects of neuroinflammation in neuronal circuits. To answer this question, behavioral, electrophysiological, and immunofluorescence experiments were performed in mice with experimental autoimmune encephalomyelitis (EAE), which models MS in mice. First, we observed high anxiety indexes in EAE mice, preceding the appearance of motor defects. Then, we demonstrated that tumor necrosis factor α (TNF-α) has a crucial role in anxiety associated with neuroinflammation. In fact, intracerebroventricular (icv) administration of etanercept, an inhibitor of TNF-α signaling, resulted in anxiolytic-like effects in EAE-mice. Accordingly, icv injection of TNF-α induced per se overt anxious behavior in control mice. Moreover, we propose the striatum as one of the brain regions potentially involved in EAE anxious behavior. We observed that before disease onset EAE striatum presents elevated TNF-α levels and strong activated microglia, early signs of inflammation associated with alterations of striatal excitatory postsynaptic currents (EPSCs). Interestingly, etanercept corrected the synaptic defects of pre-symptomatic EAE mice while icv injection of TNF-α in non-EAE mice altered EPSCs, thus mimicking the synaptic effects of EAE. In conclusion, anxiety characterizes EAE course since the very early phases of the disease. TNF-α released from activated microglia mediates this effect likely through the modulation of striatal excitatory synaptic transmission.