Calcitonin gene-related peptide (CGRP) is a neuropeptide that affects anxiety; however, how it evokes anxiety-like responses remains unclear. Here, we show that intracerebroventricular (i.c.v.) administration of CGRP (0.5 nmol) increased monoamine oxidase B (MAOB) and decreased dopamine in the mouse hippocampus. CGRP administration revealed anxiety-like behavior in open field, hole board, and plus-maze tests. CGRP decreased dopamine but increased the transcriptional regulator of MAOB, Krüppel-like factor 11 (KLF11), and the phosphorylated heterochromatin protein (p-HP1γ), which is involved in gene silencing by methylating histone H3 in mice hippocampus. Notably, increasing p-HP1γ becomes more euchromatic and activates transcription. To determine whether this effect reflected the binding of HP1γ and KLF11 to the enhancer, we designed primers within the KLF11 enhancer region (−700 bp) and performed chromatin immunoprecipitation (ChIP) assays. Notably, HP1γ was recruited to the KLF11 enhancer by CGRP i.c.v. in the mouse hippocampus. We also observed that CGRP (1000 pmol) infusion into the hippocampus significantly increased anxiety-like behavior in the plus-maze test. Therefore, CGRP reduces hippocampal dopamine and exhibits anxiety-like behavior through epigenetic regulation.