The Duke had previously been married and widowed, with one son, Alexander Georgievich, from his prior marriage to Therese of Oldenburg.

The couple had two children: On 29 April 1907, at the age of 39, Anastasia was married to Grand Duke Nicholas Nikolaevich of Russia (1856–1929).

Since the Montenegrins were a fiercely Slavic, anti-Turkish people from the Balkans, Anastasia reinforced the Pan Slav tendencies of Nicholas.

[6] Anastasia and her sister were intrigued by the more mystical side of the Eastern Orthodox religion; they were early supporters of the French seer "Dr." Philippe Vachot[7] and of the starets Rasputin, and introduced both in turn[3] to the Empress Alexandra Feodorovna, the last Tsarina of Russia.

Anastasia's husband, Grand Duke Nicholas Nikolaevich of Russia (1856–1929), was Commander in Chief of the Russian Army during the first year of World War I, carrying out campaigns on the Austro-German front and in the Caucasus.

Grand Duchess Anastasia and her husband died in exile and were originally buried in the church of St. Archangel Michael in Cannes, France.