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Zhi zhu xiang (ZZX for short) is the root and rhizome of Valeriana jatamansi Jones, which is a Traditional Chinese Medicine (TCM) used to treat various mood disorders for more than 2000 years, especially anxiety. The aim of the present work was to identify the bioactive chemical markers in Zhi zhu xiang improving anxiety in rats by a fingerprint-efficacy study. More specifically, the chemical fingerprint of ZZX samples collected from 10 different regions was determined by High Performance Liquid Chromatography (HPLC) and the similarity analyses were calculated based on 10 common characteristic peaks. The anti-anxiety effect of ZZX on empty bottle stimulated rats was examined through the Open Field Test (OFT) and the Elevated Plus Maze Test (EPM). Then we measured the concentration of CRF, ACTH, and CORT in rat’s plasma by the enzyme-linked immune sorbent assay (ELISA) kit, while the concentration of monoamine and metabolites (NE, DA, DOPAC, HVA, 5-HT, 5-HIAA) in the rat’s cerebral cortex and hippocampus was analysed by HPLC coupled with an Electrochemical Detector. At last, the fingerprint-efficacy study between chemical fingerprint and anti-anxiety effect of ZZX was accomplished by partial least squares regression (PLSR). As a result, we screened out four compounds (hesperidin, isochlorogenic acid A, isochlorogenic acid B and isochlorogenic acid C) as the bioactive chemical markers for the anti-anxiety effect of ZZX. The fingerprint-efficacy study we established might provide a feasible way and some elicitation for the identification of the bioactive chemical markers for TCM.