BBC News reports that Knightley has been cast in the film's titular role, while Law will portray Anna's cruel husband Alexei Karenin.
The story follows a married woman who embarks on an affair with a handsome young soldier, who will be played by Kick-Ass star Aaron Johnson.
Knightley has previously worked with Wright on both Pride & Prejudice and Atonement.
"Joe Wright is a master film-maker, and with Tom Stoppard's brilliant screenplay this Anna Karenina will be full of both pageantry and emotion," Focus Features executive James Schamus said.
Anna Karenina will begin filming later this month ready for release in 2012.
Watch Keira Knightley in the trailer for The Duchess below: