The Imperial family spent most of their time at the Alexander Palace in Tsarskoe Selo, which was just outside the capital city of St. Petersburg. Since the palace has almost two hundred rooms, much bigger then they needed, the family only lived in one part of the palace. Nicholas and Alexandra lived downstairs on the main floor, while their children lived on the second floor with tutors, nurses, doctors, and ladies in waiting. The area occupied by the children consisted of three classrooms, music room, playrooms, their private dining and sitting room, and a movie theater. 
Anastasia shared a bedroom with her older sister Maria and her two other sisters Olga and Tatiana shared another bedroom, while the Aleksey had his own bedroom.
When the girls grew out of their cribs they then slept on folding camp beds. This was a tradition started by Catherine I. The imperial children were taught to endure discomforts such as hard beds, cold baths, and simple foods. The girls moved the beds around the rooms and downstairs during the summer when the upstairs rooms got too stuffy for them to sleep in. The bedrooms were large and airy, furnished with things from around the palace and gifts from friends and relatives. The girls even took their beds on vacations and with them when they were imprisoned in Siberia.
All four of the Grand Duchesses shared one large bathroom with two bathtubs. One tub was from the reign of Nicholas I; everyone who had used it over the years had engraved his or her names on it. The smaller tub was used for the children when they were infants. There were big buckets for the nursemaids to pour water over the children, but as they got older they did this for each other.
The imperial family also spent time at the Winter Palace on the 
banks of the Neva River in St. Petersburg. The family did not like living there, the palace was cold and drafty and both Tatiana and Anastasia got very sick from the water there. Their private train often brought the family into the city for the day. In the private train, the family traveled all around Russia in their own compartments, with their beds and other favorite things. Many people traveled with the family, as well as the family dogs, cat, and Nicholas's parrot, "Popov".
Every summer they went for cruises on their own boat, the "Standart". They would stay for several weeks at the Lower Palace on the shores of the Gulf of Finland in Alexandria Park next to Peterhof. When Anastasia was young the family would regularly travel to their private estates in Poland, Nicholas enjoyed hunting there.
Livadia on the Black Sea in Crimea was a favorite place for the family to vacation. The weather there was nice and they usually tried to stay for several months at a time. Nicholas built a white villa on a cliff over looking the sea; it was a private estate with fewer servants, court officials, and police. Sometimes the family was able to go into town and into the shops. This was joy for Anastasia and the rest of the family since it was impossible for them to go to shops in St. Petersburg because a fuss would have been made about them in the city.