Anammox bacteria were embedded with different mass fractions of polyvinyl alcohol (PVA), polyethylene glycol (PEG) and water-based polyurethane (WPU) materials. The embedded immobilized pellets with different particle sizes of about 2.8–3.2 mm were prepared. The effects of the mass fraction of the embedding material (PVA 6–12%, PEG 6–9%, WPU 10%) and the concentration of activated carbon added in the embedding process (0–4%) on the pellet was investigated. The performance of pellet formation, sedimentation rate, mechanical strength, expansion coefficient, and elasticity were compared and analyzed under different immobilization conditions, and the parameters of each embedding step were optimized. Anammox immobilized pellets prepared with 10% polyvinyl alcohol (PVA), 2% sodium alginate (SA), and 2% powdered activated carbon were proposed. The effects of salinity on anammox were investigated through a batch test, and the optimal reaction conditions were selected to carry out the operation test. The functional groups of embedded and unembedded anammox sludge were detected using the infrared spectrum. A continuous flow sequencing batch reactor (SBR) demonstrated stable operation with immobilized anammox. Scanning electron microscopy revealed that the immobilized anammox pellets appeared as irregular particles, with each micro-unit predominantly being spherical. Additionally, a minor presence of rod-shaped bacteria was also noted. After 30 days of stable operation of the reactor, the ammonia nitrogen removal rate reached 84.7%.