Small RNA molecules in early embryos, delivered from sperm to zygotes upon fertilization, are required for normal mouse embryonic development. Even modest changes in the levels of sperm‐derived miRNAs appear to influence early embryos and subsequent development. For example, stress‐associated behaviors develop in mice after injection into normal zygotes sets of sperm miRNAs elevated in stressed male mice. Here, we implicate early embryonic miR‐409‐3p in establishing anxiety levels in adult female, but not male mice. First, we found that exposure of male mice to chronic social instability stress, which leads to elevated anxiety in their female offspring across at least three generations through the paternal lineage, elevates sperm miR‐409‐3p levels not only in exposed males, but also in sperm of their F1 and F2 male offspring. Second, we observed that while injection of a mimic of miR‐409‐3p into zygotes from mating control males was incapable of mimicking this effect in offspring derived from them, injection of a specific inhibitor of this miRNA led to the opposite, anxiolytic effect in female, but not male, and offspring. These findings imply that baseline miR‐409‐3p activity in early female embryos is necessary for the expression of normal anxiety levels when they develop into adult females. In addition, elevated embryo miR‐409‐3p activity, possibly as a consequence of stress‐induced elevation of its expression in sperm, may participate in, but may not be sufficient for, the induction of enhanced anxiety.