Grand Duchess Anastasia Mikhailovna was born at the Petergof palace on 28 July 1860, the second of the seven children of Grand Duke Michael Nicolaievich of Russia and his wife Grand Duchess Olga Feodorovna (born Princess Cecilie of Baden). She was only two years old when her father was appointed Viceroy of the Caucasus and the family moved to Georgia. Anastasia Mikhailovna grew up in her father's palace in Tiflis amidst the wild and austere atmosphere of the Caucasus. The family lived in a huge palace and also owned a rural estate near Borjomi, a summer residence, the Mikhailovskoe, near Saint Petersburg and a residence on the Black Sea.

Called in the family "Stassie", Anastasia Mikhailovna was the only daughter among seven children. She was the object of devotion not only as her father's favorite, but was spoiled by her six brothers. Her father was occupied with his militaristic and governmental activities, while her mother, a strict disciplinarian, showed little affection and raised the children with an iron hand. Her brothers found in Anastasia an outlet for love and tenderness that was so lacking with their parents. She was raised separately from her brothers most of the time, joining them only on Sundays when they were all allowed to take a walk together. She was particularly close to her eldest brother, Nicholas Michailovich, with whom she shared artistic interest. She grew up to be very independent, intelligent and strong willed, with a warm and happy personality. Tall and slim, she had dark hair and green oriental eyes. Her education centered in languages; she learned French, German and English besides her native Russian.

In 1878, when Anastasia was not yet eighteen, her mother and Grand Duchess Maria Pavlovna, wife of Grand Duke Vladimir Alexandrovich, arranged her marriage with Maria's eldest brother Friedrich Franz, Hereditary Grand Duke of Mecklenburg - Schwerin. He was 27 years old and heir to the grand duchy of Mecklenburg - Schwerin in northern Germany. Their grandmothers, Princesses Alexandrine and Charlotte of Prussia, were sisters, and Friedrich Franz was also a direct descendant of Tsar Paul I of Russia. In the spring of 1878, Prince Friedrich Franz arrived in Tiflis to ask for her hand. He was rich, the heir of a German Grand Duchy and good hearted, but had delicate health, suffered from asthma, a rash and a weak heart. The engagement was resented by Anastasia's brothers, who did not want to be separated from her. Anastasia herself was not happy with her fiancé, appalled by his skin condition. He used to get periodic attacks of eczema on the face and body, which confined him into complete seclusion for long periods. As was often the case with dynastic marriages, she was given no choice by her parents, who wanted to secure a good position for her. Accordingly, the betrothal was announced on 4 May and in October Anastasia and her family traveled to Saint Petersburg to prepare for the wedding. The marriage took place on 24 January 1879 in the Winter Palace, and she was given away by her uncle Tsar Alexander II; there was first an Orthodox ceremony and then a Protestant service. The marriage was a big affair, and representatives of all the ruling houses of Europe attended.

On 8 February 1879, Anastasia and Friedrich arrived in Schwerin. Her father-in-law Friedrich Franz II, Grand Duke of Mecklenburg - Schwerin was the reigning monarch of the duchy of Mecklenburg - Schwerin and presided over a large family. The young couple settled in the Marienpalais, but Anastasia was not allowed to arrange her apartments according to her own taste. She was homesick and found a strict and old-fashioned court and an oppressive atmosphere. Although her own mother was German, Anastasia Mikhailovna never overcame her dislike for her adopted country.

She was soon pregnant and her first child, Alexandrine, was born in the first year of her marriage. Her husband's ill health allowed her the perfect excuse to spend as little time as possible in Schwerin. She traveled frequently visiting her family in Russia and spending long sojourns abroad, looking for a warm climate for her husband's ailments, in southern Italy and France.

They were living in Palermo, when in 1882 a second child, Friederich Franz, was born. The death of her father-in-law on 15 April 1883, and the ascension of her husband as Grand Duke Friedrich Franz III of Mecklenburg - Schwerin, forced them to return to Schwerin, where she was resented for her frequent absences. At first, she enjoyed her new position as the wife of the reigning Grand Duke and took residence in sumptuous apartments in Schwerin Castle. However, soon after she wanted to return to Italy or France. The population of Mecklenburg - Schwerin did not want their sovereign living somewhere else, and Anastasia was heavily criticized. A compromise was reached, and the Grand Duke and his wife would live in Schwerin for five months and could stay wherever they wanted for the rest of the year on condition that their children were to be born in Schwerin.

After her youngest daughter, Cecile, was born in 1886, Anastasia moved to Cannes where they used to spend most of the year. Between 1887 and 1889, her husband had constructed for her the Villa Weden, a large Italian style palace situated on the side of a mountain that dominated the bay of Cannes. They lived there every year from November until May, stopping in Paris on their way back to Germany.

Grand Duchess Anastasia Mikhailovna spent as little time as possible in Schwerin Castle in the summer, preferring her residence in Gelbensande, a hunting lodge built in 1886 in the style of an English cottage near the Baltic Sea. She brought up her children with simplicity and more freedom than she received from her parents, and would keep a close relationship with them. She spoke French to her husband and English with her children. She was a keen tennis player, with her own tennis court at the Villa Wenden. She loved Italian music, particularly the operas of Puccini and the theater. Her extant letters reveal a warm, caring person, who always seems to have been happy about life. She frequented many other European royals who stayed at the Riviera; her parents and brothers were also frequent visitors. Her mother died of a heart attack in 1891, and Anastasia remained very close to her widower father and her brothers, particularly the two eldest Nicholas and Michael. Anastasia spent lavishly from the Grand Duke's income and her own dowry, for which she was widely criticized, but she loved to shock people who condemned her. She liked society and became a frequent visitor to the gambling tables of Monte Carlo, losing a large sum of money at the casino; but in spite of her extravagances, she never lost her husband's affection.

Through the years, the health of her husband only got worse, but his sudden death became a royal scandal. In the early hours of 10 April 1897, Grand Duke Friedrich Franz was found unconscious at the bottom of the villa's 25-foot (7.6 m)-high retaining wall by his coachman on the road below the rose - festooned parapet, which encircled the villa's garden. The Grand Duke had obviously jumped in an attempt to end his life. He was carried back to the villa, where he finally died. The night before, Anastasia had thrown a party at which her husband did not want to appear due to his bad health. Anastasia was so unpopular in Schwerin that she was suspected of killing him. Her husband's death was ruled an accident, but he had probably committed suicide. Anastasia seemed to have mourned her husband sincerely, telling her lady in waiting "I have lost my best friend."

At her husband's death Anastasia inherited all his private property; the Villa Wenden and Gelbensande, even though this palace should have been passed to her 15-year-old son, who became Friedrich Franz IV under the regency of his uncle Duke Johann Albrecht until 1901 when he came of age. From then on, Anastasia rarely visited Schwerin, always staying at Gelbensande. She preferred to live in the Riviera or to travel to Saint Petersburg, Paris or England. In 1898 her eldest daughter, Alexandrine, married the heir of the Danish Crown, who later became King Christian X of Denmark.

Only thirty-six years old when she became a widow, Anastasia's life was again moved by scandal. While remaining very attached to her family, her thirst for living, strong personality and spirit of independence caused in its medium a lot to talk about. The Grand Duchess kept a small apartment in Paris, where she led the life of the rich and beautiful, going to parties looking wildly for distractions. She also gambled heavily at Monte Carlo. Fascinated by her, the croupiers would roll the ball intentionally into her favorite section of the roulette wheel, to increase her chances of winning. She started an affair with her personal secretary, Vladimir Alexandrovitch Paltov, and became pregnant by her lover. At first she pretended that her swelling was the result of a tumor. When the time came to deliver, she claimed she had contracted chicken pox for which she had to be quarantined. Her illegitimate son, Alexis Louis de Wenden, was born in Nice on 23 December 1902. The name de Wenden was granted by King Christian IX of Denmark after Anastasia's villa. She did bring up her illegitimate son herself. When later he was sent to study in a boarding school in Normandy, she wrote to him every day.

In the following years, Anastasia's children got married, her son Friedrich Franz IV in 1904 to Princess Alexandra of Hanover. Grand Duchess Anastasia was very unpopular in Germany, due to her French sympathies. Kaiser Wilhelm II of Germany particularly disliked her, and when in June 1905 Anastasia's youngest daughter Cecile married Wilhelm's eldest son, Wilhelm, German Crown Prince, Anastasia was allowed to come to the court of Berlin only twice, first for the wedding and later when the first son of this marriage was born. She was advised never to live near her daughter.

Anastasia's father Grand Duke Michael Nicolaievich of Russia had a stroke years earlier, and moved to live near her in the South of France. Upon his death in 1909, she inherited immense wealth. In the first decade of the 20th century, the Grand Duchess occupied herself visiting her relatives, her children, growing number of grandchildren and her hobbies: reading, going to parties and the gambling tables in nearby Monte Carlo. Always the eccentric, one contemporary described her as “completely indifferent to anything but her own desires”. Prince Felix Yussupov, who married her niece, Princess Irina of Russia, met Grand Duchess Anastasia Mikahilovna in Paris in 1913 describing her in his memoirs:

“Although she was 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. When she heard that I was going to marry her niece, she took me in hand. From that day my life was no longer my own. She was an early riser and she used to telephone me at eight in the morning. Sometimes she came to the Hotel du Rhin, where I was staying, and sat reading the papers in my room while I dressed. If I happened to be out, she sent her servants all over Paris to look for me and sometimes took part in the search herself. I never had a moment's peace. I had to lunch, dine, go to the theater and supper with her almost every day. She usually slept through the first act of a play, and then woke up with a start to declare that the performance was stupid and that she wished to go somewhere else. We often changed theaters two or three times in one evening. As she felt the cold, she made her footman sit on a chair at the door of her box, holding a small traveling bag filled with shawls, scarves and furs. All these objects were numbered. If by chance, she was awake and felt a draft, she would ask me to bring her such or such a number. I could have put up with all this but unfortunately she had a passion for dancing. At midnight, now wide awake, she would drag me to a night club where she danced till dawn.”

The diplomat Maurice Paléologue wrote on 14 October 1913, "Although she is fifty-three, she lives openly with an Argentinian blackguard, dances at Magic City with all comers till two in the morning and associates with the scum of the aerodromes."

In the summer of 1914, just before World War I broke out, Grand Duchess Anastasia visited her brother Grand Duke Michael Mikhailovich of Russia and his family in England. When many eagerly greeted the outbreak of war, after the Austrian ultimatum, she wrote to Tsar Nicholas II, "I hope that the war will not happen and that we even can say ‘perhaps in a few days, we’ll all be together again'".

The conflict put her in a terrible situation. Two of her children sided with Germany, while her brothers in Russia were fighting to defeat the Central Powers. Technically a German princess, Anastasia could neither remain in France, a country at war against Germany, nor return to Schwerin, now an enemy of her native Russia. Therefore, she decided to settle in neutral Switzerland. She spent the war years living at the Savoy Hotel in Lausanne, giving her villa in Cannes for use as a hospital for wounded officers of the Russian Expeditionary Force in France.

During the war, she managed to obtain news of her daughter Cecile and her son Friedrich Franz through her daughter, Alexandrine, Queen in neutral Denmark. The Bolsheviks killed three of her brothers, Grand Dukes Nicholas, George and Serge, during the Russian Revolution. The fall of the German monarchy after the war resulted in the loss of the crown for both her son in Schwerin, and her daughter Cecile in Germany.

After the end of the war, Grand Duchess Anastasia decided to go back to France; she could not return as a German Princess, and with her Russian passport, she sneaked inside the country with the entourage of her cousin Princess Catherine Yourievskaya, who was a refugee in Lausanne and was heading toward Nice. Once in France, Grand Duchess Anastasia moved to the Villa Fantasia at Eze, near Cannes. There she spent her last years, taking up her old social life. In the first week of March 1922, shortly after attending a party given by her nephew Grand Duke Andrei Vladimirovich in Cap-d'Ail, she felt ill. She suffered a stroke and died on 11 March 1922 in Èze. She was 61 years old.

With her death, her children were reunited for the first time since 1914. Her natural son, Alexis Louis de Wenden, remained in France. She was buried beside her husband in Ludwigslust. Among her direct descendants are Queen Margrethe II of Denmark and Prince George Frederick of Prussia, head of the house of Hohenzollern. The male line of the House of Mecklenburg - Schwerin died out with her grandson Hereditary Grand Duke Friedrich Franz in 2001.