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Annensky was born into the family of a public official in Omsk on 1 September [O.S. 20 August] 1855.[6] In 1860, while still a child, he was taken to Saint Petersburg. Annensky lost his parents early on, and was raised in the family of his older brother, Nikolai Annensky, a prominent Narodnik and political activist.
In 1879, Annensky graduated from the philological department of St. Petersburg University, where he concentrated on Historical-comparative linguistics. He became a teacher, and taught classical languages and ancient literature studies in a gymnasium in Tsarskoe Selo. He served as the Director of this school from 1886 until his death in 1909. Nikolai Gumilev graduated from this school and called Annensky "the last of Tsarskoe Selo's swans."

