Behavioral disorders, such as anxiety and depression, are prevalent globally and touch children and adults on a regular basis. Therefore, it is critical to comprehend how these disorders are affected. It has been demonstrated that neuropeptides can influence behavior, emotional reactions, and behavioral disorders. This review highlights the majority of the findings demonstrating neuropeptides’ behavioral role and functional engineering in depression and anxiety. Gut–brain peptides, hypothalamic releasing hormone peptides, opioid peptides, and pituitary hormone peptides are the four major groups of neuropeptides discussed. Some neuropeptides appear to promote depression and anxiety-like symptoms, whereas others seem to reduce it, all depending on the receptors they are acting on and on the brain region they are localized in. The data supplied here are an excellent starting point for future therapy interventions aimed at treating anxiety and depression.