According to chronicler João de Barros, Pêro de Anaia was the son of Castilian nobleman Diego de Anaya, who fought in the Castilian civil war of the 1470s for the Beltraneja party, alongside King Afonso V of Portugal. He moved or was exiled to Portugal at the conclusion of that war. His son Pêro de Anaia became a knight of the Portuguese king's household.