Anelka joined Real from Arsenal in 1999 as one of the brightest prospects in world football as a 20-year-old but lasted just one season - in which he helped them lift the UEFA Champions League.
But the former France international admits that was all he did during his time at the 13-time European champions as his introduction set the tone for his tumultuous stint in Madrid.
"After my press conference, I went to the dressing-room," he said in his Netflix documentary titled 'Misunderstood'.
"I arrived first and chose a seat, but the players one-by-one kept saying: 'This is my seat'. This must-have happened 20 times.
"I just thought: 'What am I doing here? This is going to be horrible'."But what happened that day was just the start of a nightmare."
Having represented 13 clubs over his nomadic career, Anelka still managed to win 13 major honours but the unique lifestyle one needs to endure at Los Blancos, he admits, came to early in his career.
"There was so much pressure," Anelka explained. "I was in the papers every day and I couldn't have a private life. You're 20 years old, but you can't even walk down the street.
"Anything you do is written about, anything you buy is in print the next day. I couldn't do anything.
He continued: "I helped Madrid win their eighth UEFA Champions League title, something I'm proud of. But in reality, I did very little there. I could've done much more but I wasn't given the opportunity.
"Looking back, if you want to play for Real Madrid, you need to make sacrifices, but I was too young to understand that. There are things I shouldn't have said and done. The move came very early in my career - too early, really."