The community was named by a railroad employee for his wife Ann and daughter Ellie. A post office existed in Annelly from August 25, 1885 to December 31, 1921.
In 1910, Annelly, (population 25) had a money order post office, a station on the Missouri Pacific Railroad, a grain elevator, a hotel, and a general store. Today only an abandoned 1 room school house and the Main Street (Annelly Road or SE 57th Street, accessible from S East Lake Rd. and SE 60th Street) of Annelly still exist, though the schoolhouse cannot be observed or approached from public roads. A farm house on the west end of Main Street is still occupied. Gypsum Creek, a tributary of the Whitewater River, runs through "downtown" Annelly and the area is populated by white-tailed deer, Rio Grande wild turkeys, ring-necked pheasants, coyotes, and bobcats.