She was married to Clyde Klotz from January 1, 1994 until 1997. They had a daughter together, Piper Maru, on September 25, 1994. The X-Files' creator, Chris Carter, was named Piper's godfather. In 2004, she married Julian Ozanne. They announced their separation on April 21, 2006. On November 1, 2006, Anderson and boyfriend Mark Griffiths welcomed a son named Oscar Griffiths and on October 15, 2008 welcomed another son named Felix Griffiths. In 2012, Anderson and Mark Griffiths ended their relationship.
She recently starred in the popular BBC series Bleak House and was nominated for a BAFTA and an Emmy Award for the role. She has also appeared in numerous films, including The Last King of Scotland and Johnny English Reborn.