Anne Say (born c. 1453 – died between 1484 and 1494) was an English baroness through her marriage to Sir Henry Wentworth in c. 1470 until her death.

She was the maternal grandmother of Jane Seymour, the third wife of King Henry VIII of England, and a great-grandmother of Edward VI.

Anne Say was born c. 1453 to Sir John Say and Elizabeth Cheney, Lady Say, the daughter of Sir Lawrence Cheney and his wife, Elizabeth Cockayne daughter of John Cokayne (died 1429) and Ida de Grey.

[1] Through her mother, Ida was a direct descendant of Welsh Prince Gruffydd II ap Madog, Lord of Dinas Bran.

She was last mentioned in 1484, and her husband Henry Wentworth married his second wife Elizabeth Neville (died September 1517) on October 22, 1494.