The present investigation continues previous behavioral profiling studies of selectively bred alcohol-drinking and alcohol non-drinking rats. In this study, alcohol-naïve adult Sardinian alcohol-preferring (sP) and non-preferring (sNP) rats were tested in the multivariate concentric square field™ (MCSF) test. The MCSF test has an ethoexperimental approach and measures general activity, exploration, risk assessment, risk taking, and shelter seeking in laboratory rodents. The multivariate design enables behavioral profiling in one and the same test situation. Age-matched male Wistar rats were included as a control group. Five weeks after the first MCSF trial, a repeated testing was done to explore differences in acquired experience. The results revealed distinct differences in exploratory strategies and behavioral profiles between sP and sNP rats. The sP rats were characterized by lower activity, lower exploratory drive, higher risk assessment, and lower risk taking behavior than in sNP rats. In the repeated trial, risk-taking behavior was almost abolished in sP rats. When comparing the performance of sP and sNP rats with that of Wistar rats, the principal component analysis revealed that the sP rats were the most divergent group. The vigilant behavior observed in sP rats with low exploratory drive and low risk-taking behavior is interpreted here as high innate anxiety-related behaviors and may be related to their propensity for high voluntary alcohol intake and preference. We suggest that the different lines of alcohol-preferring rats with different behavioral characteristics constitute valuable animal models that mimic the heterogeneity in human alcohol dependence.