European fellowships for neuroscience or anatomy?
A primary mailing list for computational neuroscience, which includes jobs all around the world (many in Europe) is

http://www.neuroinf.org/mailman/listinfo/comp-neuro

That would also be a better place to ask your more specific question about fellowships, etc. There are many such opportunities in Europe, but your question is not specific enough right now. If you ask on the comp-neuro mailing list, you should say more about your current position, location, and experience. Have you published anything? What research topics have you been studying? At what institution? This will help people focus their answers to help you more. You can also start by looking up the major European institutions that are strong in comp neuro (of which there are many, and there are lists all over the internet) and see if they sponsor any programs directly.

On a related note, as a mathematical neuroscientist myself, I think you will find the neuroscience area much more intellectually stimulating than anatomy. Computational anatomy is, in many ways, a more limited set of topics. A lot of it involves image processing and 3D reconstruction, which are already included as possible sub-areas within neuroscience. So you could always get into that sub-area of anatomy later anyway.