Nowadays, high-fat foods are eaten in most societies, which causes memory impairment and anxiety through the oxidative stress pathway. Sesame oil (SO) has potential antioxidant properties. The hypothesis of this study was that sesame oil affect memory impairment and anxiety caused by a high-fat diet (HFD) in male rats. Eighty male Wistar rats were divided into eight groups (n = 10): control (standard diet; SD), the HFD, SD + SO (0.5, 1, or 2 ml/kg; once/day, gavage), and HFD + SO (0.5, 1, or 2 ml/kg; once/day, gavage) groups. All diets were given to the animals for three months. Finally, behavioral and oxidative stress parameters were measured. The step-through latency of retention test in SD + SO (0.5 or 1 ml/kg) groups increased more than the control group. Also, the Barnes test on training days revealed that the latency time to find the target hole increased in the HFD group compared with the control group. Moreover, the time spent on the open arms in the SD + SO (0.5 ml/kg) group improved remarkably than the control group. Total oxidant (TOS) level in the HFD + SO (0.5, 1, and 2 ml/kg) groups was lower than the HFD group. The level of total antioxidant capacity (TAC) in the SD + SO (2 ml/kg) group was higher than the SD + SO (0.5 ml/kg) group and the amount of thiol in the HFD group decreased compared with the control group. These findings suggest that the positive effects of SO on memory and anxiety are probably due to its antioxidant properties and the elimination of free radicals.