Smart Grid (SG) is a modern digital metering system that was introduced by researchers to take over the traditional electricity infrastructure that existed before by gathering and putting in use the data generated by smart meters and ensure efficiency and reliability in the two directional flow of electricity and data for both the service providers and smart meters. Leakage of customers’ identity causes inconvenience to the customer because he is exposed to theft in his household. Secure anonymous key distribution scheme for SG has been proposed as solution to secure data transfer between service provider and customer. Existing secure anonymous key distribution scheme for SG brings challenge such as being inefficient, having traceability issues and do not stop replay attack hence vulnerable to DoS attacks. In this paper a Secure efficient anonymous identity-based with bilateral protocol is proposed to address the weakness in existing anonymous key distribution schemes. , With this protocol, both smart meter and service provider in (SG) identify each other anonymously in efficient way achieving un-traceability and restisting Replay and DoS attack.