Anxiety disorders are common psychiatric conditions with a partially elucidated neurobiology. Caffeine, an unspecific adenosine receptor antagonist, is a common psychostimulant with anxiogenic effects in sensitive individuals. High doses of caffeine produce anxiety-like behavior in rats but it is not known if this is specific for rats with high baseline anxiety-like behavior. Thus, the aim of this study was to investigate general behavior, risk-taking, and anxiety-like behavior, as well as mRNA expression (adenosine A2A and A1, dopamine D2, and, μ, κ, δ opioid, receptors, BDNF, c-fos, IGF-1) in amygdala, caudate putamen, frontal cortex, hippocampus, hypothalamus, after an acute dose of caffeine. Untreated rats were screened using the elevated plus maze (EPM), giving each rat a score on anxiety-like behavior based on their time spent in the open arms, and categorized into a high or low anxiety-like behavior group accordingly. Three weeks after categorization, the rats were treated with 50 mg/kg caffeine and their behavior profile was studied in the multivariate concentric square field (MCSF) test, and one week later in the EPM. qPCR was performed on selected genes and corticosterone plasma levels were measured using ELISA. The results demonstrated that the high anxiety-like behavior rats treated with caffeine spent less time in risk areas of the MCSF and resituated towards the sheltered areas, a behavior accompanied by lower mRNA expression of adenosine A2A receptors in caudate putamen and increased BDNF expression in hippocampus. These results support the hypothesis that caffeine affects individuals differently depending on their baseline anxiety-like behavior, possibly involving adenosine receptors. This highlights the importance of adenosine receptors as a possible drug target for anxiety disorders, although further research is needed to fully elucidate the neurobiological mechanisms of caffeine on anxiety disorders.