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Users of quantum networks can securely communicate via so-called (quantum) conference key agreement—making their identities publicly known. In certain circumstances, however, communicating users demand anonymity. Here, we introduce a security framework for anonymous conference key agreement with different levels of anonymity, which is inspired by the ε-security of quantum key distribution. We present efficient and noise-tolerant protocols exploiting multipartite Greenberger-Horne-Zeilinger (GHZ) states and prove their security in the finite-key regime. We analyze the performance of our protocols in noisy and lossy quantum networks and compare with protocols that only use bipartite entanglement to achieve the same functionalities. Our simulations show that GHZ-based protocols can outperform protocols based on bipartite entanglement and that the advantage increases for protocols with stronger anonymity requirements. Our results strongly advocate the use of multipartite entanglement for cryptographic tasks involving several users.