Animal models or test paradigms for predominantly female disorders, such as anxiety, often use only male animals, with little or no investigation of sex differences. Thus, this study was conducted to compare the behaviour of males and females in four widely used tests of anxiety. The behaviour of male and female Mongolian gerbils was assessed in the elevated plus maze (EPM), black-white box (BWB), open-field and social interaction tests. In the elevated plus maze, females spent proportionally less time in the centre square and greater time in the closed arms compared with males. In the black-white box, they showed significantly greater entries into the black compartment, whilst in the open field, females spent less time sniffing the arena compared with males. Thus, in these three models, there are no conclusive sex differences in anxiety-like behaviour. However, in the social interaction test, females showed more exploratory/cage-orientated behaviour and less active social and aggressive behaviour. In addition, females terminated social contact more frequently. These results can be interpreted as true sex differences, as behaviour in the open-field and social interaction tests did not differ across the oestrous cycle. In conclusion, the results show that sex differences in anxiety-like behaviour in gerbils are best detected using the social interaction test, which suggests that females show a more anxious profile. It also further highlights the need for sex differences to be investigated in tests of anxiety.