By integrating the traditional grid with the advanced communication and information technologies, smart grid can provide a reliable and efficient energy service for our modern society. Data aggregation plays an important role in evaluating the current energy usage information of consumer domains, based on which the operation center can accommodate distributed power sources to maximize the utilization efficiency. However, it also incurs a potential risk to the consumer privacy. In this paper, we propose an anonymous multi‐dimensional data aggregation for smart grid systems. With the proposed scheme, the operation center can compute both additive and non‐additive aggregation functions over the collected reports from consumers. The computation cost of each consumer is independent of the number of collected data types. In addition, by using the batch verification technique, the operation center's computation cost can be significantly reduced. The security analysis demonstrates that the proposed scheme can achieve identity privacy preserving, data authentication, and confidentiality. Copyright © 2013 John Wiley & Sons, Ltd.