Anderson, 49, donned a tight black turtleneck and a matching pencil skirt for the meeting, reported People magazine.
Anderson's frequent visits to the embassy over the past year- at least six in the past seven months - has caused a flurry of speculation that the two are a couple.
The visit comes after the actress addressed her relationship with Assange in a lengthy post on her website, writing that he is "one of my favorite people."
"My relationship with Julian - It's no secret, He is one of my favorite people- and he might be the most famous, most politicized refugee of our time," she wrote.