The performance of different mechanisms utilised to perform anomaly detection depends heavily on the group of features used. Therefore, dealing with a multi-dimensional dataset that typically contains a large number of attributes has caused problems to classification accuracy. Not all attributes in the dataset can be used in the classification process since some features may lead to low performance of classifiers. Feature selection (FS) is a good mechanism that minimises the dimension of high-dimensional datasets. Modified binary grey wolf optimization (MBGWO) is a metaheuristic algorithm that has been successfully used for FS. However, the MBGWO algorithm has a drawback in selecting sub-optimal feature sets from an original set of features. This drawback is related to the linearly decreasing value of a parameter where there is no control between the exploration and exploitation processes. This study proposed an enhanced binary grey wolf optimization (EBGWO) algorithm for FS in anomaly detection by controlling the balancing parameter. The new method focused on obtaining a value for a parameter that controlled the trade-off between exploration and exploitation. Evaluation of the proposed method was on the NLS-KDD dataset with different attack classes and compared with other benchmark algorithms, such as binary bat algorithm, binary particle swarm optimization, and four variants of grey wolf optimiser for FS. The experimental results indicated that EBGWO was superior than other algorithms, where it obtained 19 features only out of a total of 41 features with 87.46% classification accuracy. The proposed algorithm can be applied to detect anomaly in network intrusion and outliers in data that are significant but difficult to find.