Former four-time African footballer of the year Eto'o signed a three-year multi-million euro (dollars) deal with the ambitious club from war-torn Dagestan after being lured from Italian giants Inter Milan last month.
While his new teammates took part in an open training session—around 5000 people turned up to get a glimpse of the African star—Eto'o reiterated earlier claims that he could not be more serious about what is being regarded as a surprise career move.
"I'm a citizen of the world," said Eto'o.
"I left Cameroon with a unique dream: to become a footballer.
"Right now, the only thing that concerns me is being happy wherever I am, and with this kind of welcome how could I not be happy?
"I've never been here, but I want to say that I'm pleasantly surprised."
Eto'o's arrival has coincided with one of the worst sporting disasters in Russian history. Earlier this week almost the entire squad of three-time Russian ice-hockey champions Lokomotiv Yaroslavl were among 43 fatalities of a plane crash.
The African was among those who respected a minute's silence to the victims of the tragedy.
Among the fans who turned out to catch a glimpse of the African star was 28-year-old Cameroonian Marie, who is studying tourism in the city. Like many, she can't quite believe one of the world's best known strikers will play for the local club.
"It's a miracle that such a big name player has come to a place like this," she said.
Thanks to a deal which will see him earn 20.5 million euros a year Eto'o, 30, is set to become the best paid footballer in the world.
The sport's top stars such as Real Madrid's Cristiano Ronaldo and Barcelona's Lionel Messi are both reported to be on salaries of less than $20 million per year.
Eto'o was tempted to Russia by the club's new billionaire owner Suleiman Kerimov—an oil and metals magnate whose wealth has already brought the Russian left winger Yuri Zhirkov from Chelsea and the veteran international Roberto Carlos from Brazil.
The tiny club was promoted to the top flight after a seven-year absence in 2009 and last year finished 11th in the 16-team league.
Ahead of their match against Volga Nizhny Novgorod on Sunday, when Eto'o is expected to make his debut, Anzhi sit sixth in the Russian league nine points behind leaders Zenit St Petersburg.
The club's recent lavish spending practices stand out in what is one of Russia's most impoverished and violent regions.
The US-based Human Rights Watch organisation said recently that Dagestan's poor human rights recorded deserved more attention from the world media than the signing of Eto'o.
"Other records in Dagestan—specifically its very poor human rights record—also deserve the attention of the world's media," the group said in a statement.
Anzhi players live and train in Moscow for security reasons and only visit the Caspian Sea city for home matches.