Glial cell line-derived neurotrophic factor (GDNF) is a neurotrophic factor for dopaminergic neurons with promising therapeutic potential in Parkinson's disease. A few association analyses between GDNF gene polymorphisms and psychiatric disorders such as schizophrenia, attention deficit hyperactivity disorder and drug abuse have also been published but little is known about any effects of these polymorphisms on mood characteristics such as anxiety and depression. Here we present an association study between eight (rs1981844, rs3812047, rs3096140, rs2973041, rs2910702, rs1549250, rs2973050 and rs11111) GDNF single nucleotide polymorphisms (SNPs) and anxiety and depression scores measured by the Hospital Anxiety and Depression Scale (HADS) on 708 Caucasian young adults with no psychiatric history. Results of the allele-wise single marker association analyses provided significant effects of two single nucleotide polymorphisms on anxiety scores following the Bonferroni correction for multiple testing (p = 0.00070 and p = 0.00138 for rs3812047 and rs3096140, respectively), while no such result was obtained on depression scores. Haplotype analysis confirmed the role of these SNPs; mean anxiety scores raised according to the number of risk alleles present in the haplotypes (p = 0.00029). A significant sex-gene interaction was also observed since the effect of the rs3812047 A allele as a risk factor of anxiety was more pronounced in males. In conclusion, this is the first demonstration of a significant association between the GDNF gene and mood characteristics demonstrated by the association of two SNPs of the GDNF gene (rs3812047 and rs3096140) and individual variability of anxiety using self-report data from a non-clinical sample.