We spend less time with Anna than we do with Gurov, so it's a bit harder to discuss her character than his. What we do know about her is that she's 22 years old, was married at twenty, considers her husband "a flunkey," feels stifled by her life, and has a very guilty conscience about having an affair. Just look at her reaction after the first time she has sex with Gurov:
Forgiven? No. I am a bad, low woman; I despise myself and don't attempt to justify myself. It's not my husband but myself I have deceived. And not only just now; I have been deceiving myself for a long time. […] and now I have become a vulgar, contemptible woman whom any one may despise. (2.17)
What's particularly sad about this scene is the fact that Anna is suffering from the same dilemma that Gurov is: dissatisfaction with her own, stifled life. Remember that Gurov studied the arts and even trained as an opera singer…and now he works at a bank. He despises his wife. Similarly, Anna is trapped by her marriage and her role in life. We learned earlier in the story that Gurov was "eager for life" (1.6). So, too, is Anna. "I have been tormented by curiosity," she says; "I wanted something better. 'There must be a different sort of life,' I said to myself. I wanted to live! To live, to live! . . . I was fired by curiosity . . . you don't understand it" (2.17).
And his response? "Gurov felt bored already, listening to her. He was irritated by the naïve tone." (2.18)
These two have so much in common. And yet, neither of them recognizes these commonalities. They're completely isolated from each other because of their inability to effectively communicate.
This sense of solitude – of not being understood – probably goes a long way in explaining Anna's incurable melancholy. In case you didn't pick up on her sorrow implicitly, we have:
The solitary candle burning on the table threw a faint light on her face, yet it was clear that she was very unhappy. (1.13)
This young woman whom he would never meet again had not been happy with him. (2.40)
"I am so unhappy." (3.37)
"I have never been happy; I am miserable now, and I never, never shall be happy, never!" (3.41)
And, of course:
From her eyes he could see that she really was unhappy. (3.42)
Anna's melancholy reminds us that this is no storybook tale; it is, however, a realistic one. (Very much like the ending…) If you buy into the whole "fate" thing, or even the "love hurts" thing, you'll likely take away from this story a few lessons, the first being: we don't get to choose whom we love. Anna may be unhappy with Gurov, but she can't simply stop loving him and be done with it. She tried, after Yalta, and to no avail. When you look at it this way, it's amazing that the story's conclusion is as optimistic as it seems – that is, if you consider the ending and its promise of a "new and splendid life" to be optimistic…