He was 73 years old.
He was awarded with Padma Bhushan in 2005.
Anjum, who has written at least 25 books and made a television serial "Goongi Tarikh" on Punjab terrorism in 1990, was conferred with the Punjab Rattan in 2001 and Padma Shri in 1991.
Apart from that, Anjum got "The Millennium Peace Award" from the then US first lady Hillary Clinton in 2000.
He had suffered brain stroke recently and was treated for it, his family said.
Meanwhile, Haryana Chief Minister Manohar Lal Khattar condoled the death of Anjum.