There are conflicting reports concerning the association of Toxoplasma gondii infection with increased risk of mental disorders. This investigation will provide a good understanding about defining the possible association between T. gondii exposure and risk of anxiety and cognitive alterations. Besides, a secondary objective of this study was to determine the effect of pioglitazone administration on the possible alterations induced by T. gondii exposure. Male BALB/c mice were used for this study. The animal model of Toxoplasma infection was established by the intraperitoneal inoculation of 20–25 tissue cysts from Tehran strain of T. gondii. Pioglitazone (20 mg/kg, i.p.1/day) was administered to the animals for 2 weeks before behavioural tests. Behavioural tests including open-field, elevated plus-maze and passive avoidance learning were evaluated in the groups. Since cytokines were implicated as a contributing factor for mood disorders, the mRNA levels of TNF-α, IL-1β, IL-6 as well as inducible nitric oxide synthase (iNOs) were examined by real-time PCR. Findings demonstrated that T. gondii caused anxiety-like symptoms and impaired cognitive functions of the infected BALB/c mice, whereas pioglitazone, a peroxisome proliferator-activated receptor agonist, showed a promising effect against the cognitive impairments induced by Toxoplasma infection. The results also revealed that the mRNA levels of the aforementioned cytokines were significantly (p < 0.05) increased in the infected mice compared to the uninfected BALB/c ones. Pioglitazone can be offered as a potential neuroprotective agent in the treatment of patients with T. gondii infection that manifests anxiety and cognitive impairments; however, further studies are needed to clarify the exact mechanisms.