Anaya was born in Palencia, Castilla y León, Spain. She is the youngest of three children. Her mother, Elena (Nena), is a housewife who later owned a boarding house in Palencia. Her father, Juan José Anaya Gómez (1934–2011), was an industrial engineer.
Anaya first received international attention in 2001 for her role in the sexually explicit drama Sex and Lucía. She also had a small part in Almodóvar's Talk to Her.
Her best-known Hollywood film role was as Aleera, one of Dracula's brides in 2004's Van Helsing. That same year, Anaya was named as one of European films' Shooting Stars by European Film Promotion.
In August 2011, Spanish tabloid magazine Cuore published photographs of Anaya kissing director Beatriz Sanchís at a naturist beach in Menorca. They were reportedly in a relationship from 2008 to 2013.
In November 2016, it was announced that Anaya was expecting her first child with her partner, Tina Afugu Cordero, a costume designer. In February 2017, Anaya gave birth to their son.