Numerous pundits and former players have written off the chances of Alastair Cook's men returning home with the 50-over trophy.
However, bowler Anderson has revealed that his teammates "are quite happy to be underdogs" heading into the tournament.
"We are going over there to win the World Cup. I know people will scoff at that and people have written us off already, but we are quite happy to be underdogs," he told the ECB's official website.
"Hopefully we can go under the radar and surprise a few people when we get there."
England begin their campaign against co-hosts Australia in Melbourne on February 14.