The double killer, who is in his 40s, is in the process of changing his name to start a new life, the court heard.
The man, who was referred to as "C", had killed his ex-girlfriend and her new companion, the court heard.
Anonymity was "necessary" for his reintegration into the community, the judges ruled.
The anonymity issue came about after C, who was released in October, applied for a High Court judicial review of a decision by the home secretary to refuse him unescorted leave in the community.
Stephen Knafler QC, appearing for C, accepted that his crimes were "high up on the scale of horrific".
But he said legal challenges involving mental health patients should be held in private - or at least with the individual's identity protected.
Lady Hale, the court's deputy president, described C's crimes as "horrendous" and said they had caused "incalculable distress to the families of the victims".
But she said that without anonymity there was "a very real risk that the progress he has made during his long years of treatment in hospital would be put in jeopardy and his reintegration in the community, which was an important purpose of his transfer to hospital, will not succeed".
"I would therefore allow this appeal and maintain the anonymity order in place," she said.
She also said the public had a right to know what happened in the courts, and that sensible decisions were being made.
But that "right to know" had to be balanced against the potential harm the disclosure of a patient's identity could cause to the patient "and perhaps also to the hospital, those treating him and other patients".
The court judgement says the Parole Board agreed to the release of the man on life licence in September and had imposed a number of conditions.
One of the conditions was that C continues to have psychiatric treatment.
A convicted murderer released on parole from a secure psychiatric unit has won his Supreme Court battle to keep his identity secret.