Conference key agreement (CKA) is a cryptographic effort of multiple parties to establish a shared secret key. In future quantum networks, generating secret keys in an anonymous way is of tremendous importance for parties that want to keep their shared key secret and at the same time protect their own identity. We provide a definition of anonymity for general protocols and present a CKA protocol that is provably anonymous under realistic adversarial scenarios. We base our protocol on shared Greenberger-Horne-Zeilinger states, which have been proposed as more efficient resources for CKA protocols, compared to bipartite entangled resources. The existence of secure and anonymous protocols based on multipartite entangled states provides a new insight on their potential as resources and paves the way for further applications.