The core component of most anomaly detectors is a self-supervised model, tasked with modeling patterns included in training samples and detecting unexpected patterns as the anomalies in testing samples. To cope with normal patterns, this model is typically trained with reconstruction constraints. However, the model has the risk of overfitting to training samples and being sensitive to hard normal patterns in the inference phase, which results in irregular responses at normal frames. To address this problem, we formulate anomaly detection as a mutual supervision problem. Due to collaborative training, the complementary information of mutual learning can alleviate the aforementioned problem. Based on this motivation, a SIamese generative network (SIGnet), including two subnetworks with the same architecture, is proposed to simultaneously model the patterns of the forward and backward frames. During training, in addition to traditional constraints on improving the reconstruction performance, a bidirectional consistency loss based on the forward and backward views is designed as the regularization term to improve the generalization ability of the model. Moreover, we introduce a consistency-based evaluation criterion to achieve stable scores at the normal frames, which will benefit detecting anomalies with fluctuant scores in the inference phase. The results on several challenging benchmark data sets demonstrate the effectiveness of our proposed method.