Anxiety disorders, including some of the most prevalent mental disorders in our society, are generally treated by drugs and psychological therapies. The latter is preferred for better effectiveness and less side-effects and is believed to relieve anxiety status by the beneficial effects of positive memory. However, the corresponding animal model is absent and related mechanisms underlying psychological therapies remain elusive. Based on the elevated plus maze for evaluation of rodent anxiety-related behavior, we used food reward at one open arm to train the mice to form reward memory and to challenge the open arms. The reward-trained mice preferred the reward open arm than the neutral one and stayed longer in open arms than those neutral-trained mice even in the final test without reward. Chelerythrine, a protein kinase C inhibitor, was proven to impair the formation of reward memory and the relief of anxiety-related behavior. Our studies confirm the efficacy of psychological therapy against anxiety disorders and shed light on its cellular mechanism.