In 1908, Annenkov entered the University of St. Petersburg and attended Savely Seidenberg’s studio classes, together with Marc Chagall. In 1911, Annenkov moved to Paris to work in the studios of Maurice Denis and Félix Vallotton.
Commissioned by the Bolshevik government, Annenkov designed and staged the open-air mystery “Liberated Labour Anthem” on 1 May 1920 in Petrograd. Later that year, Annenkov staged and designed another mass show, The Storming of the Winter Palace, part of the October Revolution anniversary celebrations in Palace Square, Petrograd
1922 his book “Portraits” was published which featured the key-figures of the Soviet Union at the time, for example, Gorky, Meyerhold, Pasternak, Zamyatin, Blok, and Akhmatova. Annenkov left Russia in July 1924, first living in Germany and later settling in Paris.