Generally, “anonymous” and “unknown” have the same sense when used as adjectives, which is that of someone or something not named or identified, as in the sentences “The novel was written by an anonymous writer in the 18th century” and “The accusation reported in the morning papers was of unknown origin.”
As stand-alone nouns, however, “anonymous” and “unknown” have their respective specialized uses. The name “Anonymous,” first letter in caps, is usually the authorship attribution indicated in a work of fiction or nonfiction for which the author personally doesn’t wish to be publicly identified or acknowledged for one reason or another. On the other hand, the name “Unknown,” first letter in caps, is the usual attribution affixed by editors to the tail end of a work they deem worth publishing but whose authorship or origin couldn’t be determined or established, not necessarily because the author didn’t want to be publicly identified or acknowledged but because his or her identity might have been irretrievably lost in the course of time. In both cases, the two names function as editorial shorthand for “Anonymous Author” or “Unknown Author (or Source).”