Anxiety disorders are the most prevalent psychiatric disorders being also a comorbid state of other diseases. We aimed to evaluate the anxiolytic-like effects of carvedilol (CVD), a drug used to treat high blood pressure and heart failure with potent antioxidant effects, in animals exposed to chronic unpredictable stress (CUS). To do this, female Swiss mice were exposed to different stressors for 21 days. Between days 15 and 21, the animals received oral CVD (5 or 10 mg/kg) or the antidepressant desvenlafaxine (DVS 10 mg/kg). On the 22nd day, behavioral tests were conducted to evaluate locomotor activity (open field) and anxiety-like alterations (elevated plus-maze—EPM and hole board—HB tests). After behavioral determinations, the animals were euthanized, and the adrenal gland, blood and brain areas, prefrontal cortex (PFC), and hippocampus were removed for biochemical analysis. CUS reduced the crossings while increased rearing and grooming, an effect reversed by both doses of CVD and DVS. CUS decreased the number of entries and permanence time in the open arms of the EPM, while all treatments reversed this effect. CUS reduced the number of head dips in the HB, an effect reversed by CVD. The CUS reduced weight gain, while only CVD5 reversed this effect. A reduction in the cortical layer size of the adrenal gland was observed in stressed animals, which CVD reversed. Increased myeloperoxidase activity (MPO) and interferon-γ (IFN-γ), as well as reduction of interleukin-4 (IL-4) induced by CUS, were reversed by CVD. DVS and CVD increased IL-6 in both brain areas. In the hippocampus, DVS caused an increase in IFN-γ. Our data show that CVD presents an anxiolytic effect partially associated with immune-inflammatory mechanism regulation.