Anderson, 39, served with the Canadian Forces in the Royal Canadian Regiment for 21 years.
Anderson retired from Canadian Forces Base Gagetown less than a year ago after being stationed at bases across the country during his career.
The former soldier was deployed overseas seven times in his career, including two tours in Afghanistan.
Anderson had been diagnosed with post-traumatic stress disorder, said his father Peter Anderson.
He said there was no sign that his son was in trouble when they spoke the day before.
Condolences from friends and fellow soldiers are pouring in on Facebook. One post reads: "Canada has lost another son to PTSD."
Anderson leaves behind four children and a fiancée.
At his request, there is no visitation or service.
Donations can be given to Soldier On, a charity that helps soldiers with illness and injury, both physical and mental.