High-fat diet (HFD) consumption induces gut microbiota dysbiosis and neuropsychiatric disorders, including anxiety. Previous research found that Tremella polysaccharide (TP) exhibited neuroprotective effects in vitro and in vivo. This study aimed to investigate the beneficial effects of TP on HFD-induced anxiety-like behaviors and elucidate the underlying mechanisms from the point view of the microbiota-gut-brain axis. Two groups of HFD-induced obese mice were orally gavaged with low dose (TPL, 40 mg/kg) and high dose (TPH, 400 mg/kg) of TP. A 12-week administration of TPH could significantly improve anxiety-like behaviors in HFD mice. In the hippocampus, microglia activation, the expression of blood-brain barrier (BBB) markers, and the levels of two neurotransmitters (serotonin and norepinephrine) were countered by TPH in mice consuming HFD. Furthermore, TPH improved the intestinal permeability and immune response of the enterocytes in HFD-fed mice. The gut microbiota dysbiosis induced by HFD was also rebalanced by TP treatments, especially in Proteobacteria and its lower taxa. The correlational analysis also suggested that shifts of some microbial genera were closely associated with body weight and the parameters of behavioral tests. Interestingly, fecal microbiota transplantation (FMT) results indicated that fecal microbiota from TPH-treated obese mice could prevent HFD-induced anxiety-like behaviors, suppressing microglia activation and intestinal permeability. In conclusion, the present study indicated that TP intake is a promising dietary intervention strategy to prevent HFD-induced anxiety via the microbiota-gut-brain axis.