Macrophage inhibitory cytokine-1 (MIC-1), also known as growth differentiation factor 15 (GDF15), is a stress response cytokine. MIC-1/GDF15 is secreted into the cerebrospinal fluid and increased levels of MIC-1/GDF15 are associated with a variety of diseases including cognitive decline. Furthermore, Mic-1/Gdf15 knockout mice (Mic-1 KO) weigh more, have increased adiposity, associated with increased spontaneous food intake, and exhibit reduced basal energy expenditure and physical activity. The current study was designed to comprehensively determine the role of MIC-1/GDF15 on behavioural domains of male and female knockout mice including locomotion, exploration, anxiety, cognition, social behaviours, and sensorimotor gating. Mic-1 KO mice exhibited a task-dependent increase in locomotion and exploration and reduced anxiety-related behaviours across tests. Spatial working memory and social behaviours were not affected by Mic-1/Gdf15 deficiency. Interestingly, knockout mice formed an increased association with the conditioned stimulus in fear conditioning testing and also displayed significantly improved prepulse inhibition. Overall sex effects were evident for social behaviours, fear conditioning, and sensorimotor gating. This is the first study defining the role of Mic-1/Gdf15 in a number of behavioural domains. Whether the observed impact is based on direct actions of Mic-1/Gdf15 deficiency on the CNS or whether the behavioural effects are mediated by indirect actions on e.g. other neurotransmitter systems must be clarified in future studies.