The integration of information technologies into the current power grid has raised significant security concerns for the advanced metering infrastructure (AMI). Evidently, without employing proper security measures, illegal or malicious entities could launch miscellaneous attacks. Thus, scholars have presented several key agreement schemes, which can be used by different parties in the AMI guaranteeing their subsequent secure communications. However, after careful deliberation, we found that their efficiency could be still improved while keeping the desired security properties. Thus, in this paper, utilizing the Chebyshev chaotic maps, as one of the most efficient security methods, we first propose a novel certificateless anonymous authentication and key agreement scheme that both enhances the security and reduces the overhead on the computationally constrained measurement devices. To be more specific, we propose a novel signature scheme in the Chebyshev cryptosystem in order to make our protocol certificateless eliminating the key escrow issue and certificate management overhead. By the way, the proposed scheme is the first Chebyshev chaotic map-based key agreement protocol that is certificateless. Then, we validate the security of the proposed scheme using the random oracle model and ProVerif tool as two well-known and popular formal techniques. Our comprehensive functionality, communication cost, and execution time comparisons indicate the superiority of our scheme compared to the all related schemes in terms of both security and efficiency. For a key agreement, the execution time of the proposed scheme is just 539 microseconds, and its communication overhead is only 1088 bits, much better than the existing related ones.