When The X-Files ended in 2002, she moved back to London for a change of pace and the opportunity to return to the stage. In 2002, Anderson made her West End debut in Michael Weller's play What The Night Is For at the Comedy Theatre. In 2004, Anderson starred in the Royal Court Theatre's production of Rebecca Gilman's play The Sweetest Swing in Baseball, as artist Dana Fielding who assumes the personality of the troubled baseball player Darryl Strawberry – a role for which she earned rave reviews.
When The X-Files ended in 2002, she moved back to London for a change of pace and the opportunity to return to the stage. In 2002, Anderson made her West End debut in Michael Weller's play What The Night Is For at the Comedy Theatre. In 2004 Anderson starred in the Royal Court Theatre's production of Rebecca Gilman's play The Sweetest Swing in Baseball, as artist Dana Fielding who assumes the personality of the troubled baseball player Darryl Strawberry – a role for which she earned rave reviews.