Dieudonne M'bala M'bala previously announced he would visit London to support the West Brom striker, who faces a ban for performing the comic's 'quenelle' salute on the pitch, which is believed by some to be an anti-Semitic gesture.
The Football Association charged Anelka over the pose, struck after scoring against West Ham on December 28, and he faces a minimum five-match ban if found guilty. Anelka has denied the charge and requested a personal hearing.
A Home Office spokeswoman said: "We can confirm that Mr Dieudonne is subject to an exclusion order.
"The Home Secretary will seek to exclude an individual from the UK if she considers that there are public policy or public security reasons to do so."