Physical and cognitive problems associated with stress are believed to result from stress-related damage to neurons involved in motor and cognitive control. In general, there are two types of stress, physical and psychological which both negatively impact neuronal function. Erythropoietin (EPO) has been shown to exert a neuroprotective effect in various models of physical brain injury; however, its actions on stress-related changes in behavior are unknown. The aim of the current study was to determine whether EPO ameliorated stress-induced locomotor and cognitive impairments, and to compare the effects of EPO on behavioral changes induced by the two different types of stressors. In this study, male Wistar rats were randomly divided into five groups and placed under physical or psychological stress for 10 consecutive days while erythropoietin was injected intraperitoneally (i.p.) every other day (500 U/kg/i.p.) 30 min before stress induction. Exploratory, anxiety-related behaviors, learning and memory were assessed by using open field, plus maze and Morris Water Maze (MWM) tests respectively. Our data showed physical and psychological stress induced dysfunction in locomotion, reduced explorative skills, heightened anxiety-like behavior and reduced memory, which could be partly reversed by EPO. We conclude that EPO reduces adverse effects of both psychological and physical stress, putatively through protection of locomotor and cognitive-controlling neurons vulnerable to the damaging effects of stress. However, future studies need to elucidate the neural mechanisms of the protective effects of EPO.