The aim of this study was to evaluate the alterations of the hippocampal function that may be related to anxiogenic response to thermal skin injury, including the morpho-functional alterations, and the effects of hyperbaric oxygen (HBO) and Filipendula ulmaria (FU) extract in the treatment of anxiety-like behavior that coincides with thermal skin injury. A rat thermal skin injury experimental model was performed on 2-month-old male Wistar albino rats. The evaluated therapeutic protocols included HBO and/or antioxidant supplementation. HBO was applied for 7 days in the hyperbaric chamber (100% O2, 2.5 ATA, 60 min). Oral administration of FU extract (final concentration of 100 mg/kg b.w.) to achieve antioxidant supplementation was also applied for 7 days. Anxiety level was estimated in the open field and elevated plus-maze test, which was followed by anesthesia, sacrifice, and collection of hippocampal tissue samples. HBO treatment and FU supplementation significantly abolished anxiogenic response to thermal skin injury. This beneficial effect was accompanied by the reduction in hippocampal pro-inflammatory and pro-apoptotic indicators, and enhanced BDNF and GABA-ARα2S gene expression, previously observed in untreated burns. The hippocampal relative gene expression of melatonin receptors and NPY positively responded to the applied protocols, in the same manner as µ and δ opioid receptors, while the opposite response was observed for κ receptors. The results of this study provide some confirmations that adjuvant strategies, such as HBO and antioxidant supplementation, may be simultaneously applied in the treatment of the anxiety-like behavior that coincides with thermal skin injury.