Soluble epoxide hydrolase (sEH), an enzyme with COOH-terminal hydrolase and NH2-terminal lipid phosphatase activities, is expressed in regions of the brain such as the cortex, white matter, hippocampus, substantia nigra, and striatum. sEH is involved in the regulation of cerebrovascular and neuronal function upon pathological insults. However, the physiological significance of sEH and its underlying mechanism in modulating brain function are not fully understood. In this study, we investigated the role of sEH in anxiety and potential underlying mechanisms in mice. Western blot for protein phosphorylation and expression was performed. Immunohistochemical analyses and Nissl and Golgi staining were performed for histological examination. Mouse behaviors were evaluated by open field activity, elevated plus maze, classical fear conditioning, social preference test, and Morris water maze. Our results demonstrated that the expression of sEH was upregulated during postnatal development in wild-type (WT) mice. Genetic deletion of sEH (sEH-/-) in mice resulted in anxiety-like behavior and disrupted social preference. Increased olfactory bulb (OB) size and altered integrity of neurites were observed in sEH-/- mice. In addition, ablation of sEH in mice decreased protein expression of tyrosine hydroxylase and reduced dopamine production in the brain. Moreover, the level of phosphorylated calmodulin kinase II (CaMKII) and glycogen synthase kinase 3 α/β (GSK3α/β) was higher in sEH-/- mice than in WT mice. Collectively, these findings suggest that sEH is a key player in neurite outgrowth of neurons, OB development in the brain, and the development of anxiety-like behavior, by regulating the CaMKII-GSK3α/β signaling pathway.