Anastasia was born as the only daughter and second child of Grand Duke Michael Nicolaievich of Russia and his wife, Princess Cecilie of Baden.

She was described in her brother Sandro's memoirs: "We worshipped that tall, dark-haired girl, who was the exclusive favourite of our father; but when talking to her, we liked to pose as faithful knights ready and willing to execute the orders of our "dame sans merci".

Her nephew-by-marriage, Felix Yusupov, described the Grand Duchess Anastasia Mikhailovna in his memoirs:"Although well over forty, she had lost none of her high spirits; she was kind and affectionate, but her eccentric and despotic nature made her rather formidable.

"[1]Her daughter, Crown Princess Cecilie, also wrote about her in her memoirs:"She was like an ivory statue, delicate and transparent, and at the same time tall and slender and stately in her bearing; she was possessed of great charm and was kind and friendly with everyone.

[...] My grandmother, after whom I was named, had brought up her only daughter with exceptional strictness and had accustomed her to submit unconditionally to the will of her mother and of her governess.