Neuropeptide Y participates in the acute behavioural responses to immune challenge, since Y2 receptor knockout (Y2⁻/⁻) mice are particularly sensitive to the short-term anxiogenic-like effect of bacterial lipopolysaccharide. The present exploratory study addressed the involvement of Y2 and Y4 receptors in the long-term behavioural responses to immune challenge. A single intraperitoneal injection of lipopolysaccharide (0.83 mg/kg) to control mice did not affect open field behaviour 3 h post-treatment but enhanced anxiety-like behaviour in Y2⁻/⁻ as well as Y4⁻/⁻ mice. Four weeks post-treatment this behavioural effect of lipopolysaccharide persisted in Y4⁻/⁻ mice but had gone in Y2⁻/⁻ mice. Depression-related behaviour in the forced swim test was enhanced 1 day post-lipopolysaccharide in control and Y2⁻/⁻ mice, but not in Y4⁻/⁻ mice. Four weeks post-treatment, the depressogenic-like effect of lipopolysaccharide had waned in control mice, persisted in Y2⁻/⁻ mice and was first observed in Y4⁻/⁻ mice. In summary, knockout of Y2 and/or Y4 receptors unmasks the ability of a single lipopolysaccharide injection to cause a delayed and prolonged increase in anxiety- and/or depression-like behaviour. These findings suggest that neuropeptide Y acting via Y2 and Y4 receptors prevents the development of long-term anxiety- and depression-like behaviour caused by acute immune challenge.