She was born Helga Erdtmann in Düsseldorf on 28 April 1918. Her mother came from a family of Jewish bankers in Darmstadt; her father, a pharmacist by profession, changed from a German national to a fervent supporter of the Nazis and joined the SS in 1934. From 1936 to 1939, the gifted young woman studied singing and drama in Berlin in increasingly difficult conditions; she also played small parts in Ufa films. In 1941, she was able to flee to Italy with the help of forged papers; her mother had committed suicide in 1938 after the November pogrom. In Rome, Helga Erdtmann joined a resistance group. In 1943, shortly after the birth of her daughter, she was arrested by the Gestapo – not least as the result of having been denounced by her father – sentenced to death, and deported to the women's concentration camp in Ravensbrück in spring 1944. When the satellite concentration camp was evacuated in April 1945, she was able to escape and fled to Belgium with the help of the Red Cross; here she met her future husband, the Swedish businessman Lundholm. In 1953, after her divorce, she returned to Germany, where she lived and worked in Frankfurt am Main as a translator and freelance author.

After her father's death in 1961, Anja Lundholm was able to process the horrors she had experienced in novels that were largely autobiographical; these included Morgen Grauen (Terror at Dawn, 1970) and Jene Tage in Rom (Those Days in Rome, 1982). She describes her imprisonment in Ravensbrück concentration camp in her most famous book, the novel Das Höllentor (The Gate to Hell), which was published in 1988.

Anja Lundholm only began attracting increasing attention from literary critics and the literary public in the 1990s. The many awards she received included the Hans Sahl Prize for her life's work (1997) and the Wilhelm Leuschner Medal of the State of Hesse (1998). The City of Frankfurt am Main awarded her the Johanna Kirchner Medal in 1993 and the Goethe-Plakette (Goethe Plaque) in 1998. At that time, Anja Lundholm was already marked by the serious illness that she attributed to her imprisonment in a concentration camp. She died in Frankfurt am Main on 4 August 2007.

In 1991, Anja Lundholm presented the German Exile 1933–1945 with a small legacy that included letters from prominent figures such as Jean Améry, Walter A. Berendsohn, Hans Habe and Ephraim Kishon. Staff at the German Exile Archive 1933–1945 maintained contact with her by phone and letter until the last years of her life.