Aim of a present study was to find genes in the periaqueductal grey (PAG) related to the exploratory behavior in rats. Male Wistar rats were divided according to their exploratory behavior in the elevated plus-maze model of anxiety into two groups: high (non-anxious) and low (anxious) exploratory activity. Differential expression of genes was analyzed using the cDNA representational difference analysis (RDA). Q-RT-PCR was used to confirm most prominent changes and functional annotation of the identified genes was performed to establish pathways related to exploratory behavior of rats. We found different genetic activation related to the exploratory activity of rats. Rats with low exploratory activity showed increase in the intracellular signal transduction and in GABA, vasopressin and adrenergic receptor activities. Functional annotation confirmed significant induction of cAMP system and GTPases in rats with anxious-type behavior. On the other hand, rats with high exploratory activity in the elevated plus-maze (non-anxious type of behavior) had increased activity of genes forming “behavioral fear response” system. These changes were specific to PAG, because they were not found in the cerebellum. In addition, plasma corticosterone levels were significantly higher in rats with non-anxious behavior compared to anxious behavior. Our results show that non-anxious behavior is related to activation of “fear response system” and more intense activation of HPA axis. Possibly it means that this system helps animals to cope with the threatening circumstances. More detailed analysis of this potential “fear response system” is necessary in the further studies for understanding its role in the regulation of emotional behavior