According to mythology, the island was given the name Anafi because Apollo made it appear to the Argonauts as a shelter from a bad storm, using his bow to shed light upon it. 

In the late 1270s, the island was recovered for the Byzantine Empire and in 1307 the island was recaptured by Januli Gozzadini who established himself as its independent lord.  Much later the ruler of Anafi, William Crispo (1390-1463), left Anafi under the control of his daughter Florence. William is said to have built the fortifications (kastro) above the present village. He is also claimed to have built a fortress, sometimes referred to as “Gibitroli”, on Mount Kalamos.  

In 1481, the island passed to the Pisani family who ruled it until 1537, when Barbarossa raided it and carried off all its inhabitants as slaves. The island was eventually resettled and acquired a set of privileges from the Ottoman court in 1700 in exchange for 500 crowns. Thereafter it was mainly left to fend for itself, except for the annual visit of the Ottoman fleet to collect tribute.

Many men left the island to help in the building of Athens as the capital city of Greece, and from then on there was both seasonal and permanent migration, and a migrant community grew up in the city. 

The island was used as a place of internal exile for criminals and political dissidents from the 1920s onward.

Tourism developed in the 1970s, particularly after an electricity generator was built in 1974, and harbour works were undertaken. The building of paved roads from the late 1980s onwards not only increased tourism but revived the island’s agricultural economy.