<?xml version="1.0" encoding="UTF-8"?>

<!--XBRL Document Created with the Workiva Platform-->
<!--Copyright 2026 Workiva-->
<!--r:019eb775-6418-7f43-8aed-c1f2accdcb46,g:8f00f0f0-c2d4-4b61-a1ca-c0543ddb6d17-->
<link:linkbase xmlns:link="http://www.xbrl.org/2003/linkbase" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xbrldt="http://xbrl.org/2005/xbrldt" xsi:schemaLocation="http://www.xbrl.org/2003/linkbase http://www.xbrl.org/2003/xbrl-linkbase-2003-12-31.xsd">
  <link:arcroleRef arcroleURI="http://xbrl.org/int/dim/arcrole/all" xlink:type="simple" xlink:href="http://www.xbrl.org/2005/xbrldt-2005.xsd#all"/>
  <link:arcroleRef arcroleURI="http://xbrl.org/int/dim/arcrole/hypercube-dimension" xlink:type="simple" xlink:href="http://www.xbrl.org/2005/xbrldt-2005.xsd#hypercube-dimension"/>
  <link:arcroleRef arcroleURI="http://xbrl.org/int/dim/arcrole/dimension-default" xlink:type="simple" xlink:href="http://www.xbrl.org/2005/xbrldt-2005.xsd#dimension-default"/>
  <link:arcroleRef arcroleURI="http://xbrl.org/int/dim/arcrole/dimension-domain" xlink:type="simple" xlink:href="http://www.xbrl.org/2005/xbrldt-2005.xsd#dimension-domain"/>
  <link:arcroleRef arcroleURI="http://xbrl.org/int/dim/arcrole/domain-member" xlink:type="simple" xlink:href="http://www.xbrl.org/2005/xbrldt-2005.xsd#domain-member"/>
  <link:roleRef roleURI="http://annaly.com/role/CoverPage" xlink:type="simple" xlink:href="nly-20260610.xsd#CoverPage"/>
  <link:definitionLink xlink:role="http://annaly.com/role/CoverPage" xlink:type="extended">
    <link:loc xlink:type="locator" xlink:label="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_DocumentInformationLineItems"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_DocumentInformationTable_019eb775-6418-7493-afcc-65f0e9feb3ee" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_DocumentInformationTable"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/all" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_DocumentInformationTable_019eb775-6418-7493-afcc-65f0e9feb3ee" xlink:type="arc" order="1" xbrldt:closed="true" xbrldt:contextElement="segment"/>
    <link:loc xlink:type="locator" xlink:label="loc_us-gaap_StatementClassOfStockAxis_019eb775-6418-7fe6-8ef5-f4b311a12514" xlink:href="https://xbrl.fasb.org/us-gaap/2024/elts/us-gaap-2024.xsd#us-gaap_StatementClassOfStockAxis"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/hypercube-dimension" xlink:from="loc_dei_DocumentInformationTable_019eb775-6418-7493-afcc-65f0e9feb3ee" xlink:to="loc_us-gaap_StatementClassOfStockAxis_019eb775-6418-7fe6-8ef5-f4b311a12514" xlink:type="arc" order="1"/>
    <link:loc xlink:type="locator" xlink:label="loc_us-gaap_ClassOfStockDomain_019eb775-6418-7fe6-8ef5-f4b311a12514_default" xlink:href="https://xbrl.fasb.org/us-gaap/2024/elts/us-gaap-2024.xsd#us-gaap_ClassOfStockDomain"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/dimension-default" xlink:from="loc_us-gaap_StatementClassOfStockAxis_019eb775-6418-7fe6-8ef5-f4b311a12514" xlink:to="loc_us-gaap_ClassOfStockDomain_019eb775-6418-7fe6-8ef5-f4b311a12514_default" xlink:type="arc" order="1"/>
    <link:loc xlink:type="locator" xlink:label="loc_us-gaap_ClassOfStockDomain_019eb775-6418-78b6-b71d-abad1093a485" xlink:href="https://xbrl.fasb.org/us-gaap/2024/elts/us-gaap-2024.xsd#us-gaap_ClassOfStockDomain"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/dimension-domain" xlink:from="loc_us-gaap_StatementClassOfStockAxis_019eb775-6418-7fe6-8ef5-f4b311a12514" xlink:to="loc_us-gaap_ClassOfStockDomain_019eb775-6418-78b6-b71d-abad1093a485" xlink:type="arc" order="1"/>
    <link:loc xlink:type="locator" xlink:label="loc_us-gaap_CommonStockMember_019eb775-6418-7bc4-b2de-f11c1708a775" xlink:href="https://xbrl.fasb.org/us-gaap/2024/elts/us-gaap-2024.xsd#us-gaap_CommonStockMember"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_us-gaap_ClassOfStockDomain_019eb775-6418-78b6-b71d-abad1093a485" xlink:to="loc_us-gaap_CommonStockMember_019eb775-6418-7bc4-b2de-f11c1708a775" xlink:type="arc" order="0"/>
    <link:loc xlink:type="locator" xlink:label="loc_nly_A6.95SeriesFFixedtoFloatingRateCumulativeRedeemablePreferredStockMember_019eb775-6418-798c-8470-6d764b738998" xlink:href="nly-20260610.xsd#nly_A6.95SeriesFFixedtoFloatingRateCumulativeRedeemablePreferredStockMember"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_us-gaap_ClassOfStockDomain_019eb775-6418-78b6-b71d-abad1093a485" xlink:to="loc_nly_A6.95SeriesFFixedtoFloatingRateCumulativeRedeemablePreferredStockMember_019eb775-6418-798c-8470-6d764b738998" xlink:type="arc" order="1"/>
    <link:loc xlink:type="locator" xlink:label="loc_nly_A6.50SeriesGFixedtoFloatingRateCumulativeRedeemablePreferredStockMember_019eb775-6418-758f-8528-0f9412540cc9" xlink:href="nly-20260610.xsd#nly_A6.50SeriesGFixedtoFloatingRateCumulativeRedeemablePreferredStockMember"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_us-gaap_ClassOfStockDomain_019eb775-6418-78b6-b71d-abad1093a485" xlink:to="loc_nly_A6.50SeriesGFixedtoFloatingRateCumulativeRedeemablePreferredStockMember_019eb775-6418-758f-8528-0f9412540cc9" xlink:type="arc" order="2"/>
    <link:loc xlink:type="locator" xlink:label="loc_nly_A6.75SeriesIFixedtoFloatingRateCumulativeRedeemablePreferredStockMember_019eb775-6418-778e-9fe1-f880c41c74c0" xlink:href="nly-20260610.xsd#nly_A6.75SeriesIFixedtoFloatingRateCumulativeRedeemablePreferredStockMember"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_us-gaap_ClassOfStockDomain_019eb775-6418-78b6-b71d-abad1093a485" xlink:to="loc_nly_A6.75SeriesIFixedtoFloatingRateCumulativeRedeemablePreferredStockMember_019eb775-6418-778e-9fe1-f880c41c74c0" xlink:type="arc" order="3"/>
    <link:loc xlink:type="locator" xlink:label="loc_us-gaap_SeriesFPreferredStockMember_019eb7c5-72bf-7831-855e-54d1d7adf531" xlink:href="https://xbrl.fasb.org/us-gaap/2024/elts/us-gaap-2024.xsd#us-gaap_SeriesFPreferredStockMember"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_us-gaap_ClassOfStockDomain_019eb775-6418-78b6-b71d-abad1093a485" xlink:to="loc_us-gaap_SeriesFPreferredStockMember_019eb7c5-72bf-7831-855e-54d1d7adf531" xlink:type="arc" order="4"/>
    <link:loc xlink:type="locator" xlink:label="loc_nly_A8.875SeriesJCumulativeRedeemablePreferredStockMember_019eb7c7-0e50-719c-9943-2841a033485e" xlink:href="nly-20260610.xsd#nly_A8.875SeriesJCumulativeRedeemablePreferredStockMember"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_us-gaap_ClassOfStockDomain_019eb775-6418-78b6-b71d-abad1093a485" xlink:to="loc_nly_A8.875SeriesJCumulativeRedeemablePreferredStockMember_019eb7c7-0e50-719c-9943-2841a033485e" xlink:type="arc" order="5"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_DocumentType_019eb775-6418-78dd-8b8b-052b288975f2" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_DocumentType"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_DocumentType_019eb775-6418-78dd-8b8b-052b288975f2" xlink:type="arc" order="0"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_DocumentPeriodEndDate_019eb775-6418-700f-8a82-231f565bc891" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_DocumentPeriodEndDate"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_DocumentPeriodEndDate_019eb775-6418-700f-8a82-231f565bc891" xlink:type="arc" order="1"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityRegistrantName_019eb775-6418-74cb-9b71-d6e170c93b54" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityRegistrantName"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityRegistrantName_019eb775-6418-74cb-9b71-d6e170c93b54" xlink:type="arc" order="2"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityIncorporationStateCountryCode_019eb775-6418-70e0-b311-c75cc0dc0941" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityIncorporationStateCountryCode"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityIncorporationStateCountryCode_019eb775-6418-70e0-b311-c75cc0dc0941" xlink:type="arc" order="3"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityFileNumber_019eb775-6418-7ffe-9311-5c700bd4c7e9" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityFileNumber"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityFileNumber_019eb775-6418-7ffe-9311-5c700bd4c7e9" xlink:type="arc" order="4"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityTaxIdentificationNumber_019eb775-6418-709b-9ca5-d293d4fead65" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityTaxIdentificationNumber"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityTaxIdentificationNumber_019eb775-6418-709b-9ca5-d293d4fead65" xlink:type="arc" order="5"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityAddressAddressLine1_019eb775-6418-76f2-83a0-46cc4045ea03" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityAddressAddressLine1"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityAddressAddressLine1_019eb775-6418-76f2-83a0-46cc4045ea03" xlink:type="arc" order="6"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityAddressCityOrTown_019eb775-6418-7e4b-a5fe-2cebf2adbfc7" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityAddressCityOrTown"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityAddressCityOrTown_019eb775-6418-7e4b-a5fe-2cebf2adbfc7" xlink:type="arc" order="7"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityAddressStateOrProvince_019eb775-6418-72bd-bd6a-eb1c87e99f75" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityAddressStateOrProvince"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityAddressStateOrProvince_019eb775-6418-72bd-bd6a-eb1c87e99f75" xlink:type="arc" order="8"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityAddressPostalZipCode_019eb775-6418-7af5-8e86-e2b925332208" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityAddressPostalZipCode"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityAddressPostalZipCode_019eb775-6418-7af5-8e86-e2b925332208" xlink:type="arc" order="9"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_CityAreaCode_019eb775-6418-7c27-965f-0e902bc50e73" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_CityAreaCode"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_CityAreaCode_019eb775-6418-7c27-965f-0e902bc50e73" xlink:type="arc" order="10"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_LocalPhoneNumber_019eb775-6418-734a-824c-59bd7f8b4041" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_LocalPhoneNumber"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_LocalPhoneNumber_019eb775-6418-734a-824c-59bd7f8b4041" xlink:type="arc" order="11"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_WrittenCommunications_019eb775-6418-732b-8b7f-3d9b2bbb8047" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_WrittenCommunications"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_WrittenCommunications_019eb775-6418-732b-8b7f-3d9b2bbb8047" xlink:type="arc" order="12"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_SolicitingMaterial_019eb775-6418-79b8-b292-e6e6d11900f8" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_SolicitingMaterial"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_SolicitingMaterial_019eb775-6418-79b8-b292-e6e6d11900f8" xlink:type="arc" order="13"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_PreCommencementTenderOffer_019eb775-6418-7b7d-8a86-39ff377887e6" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_PreCommencementTenderOffer"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_PreCommencementTenderOffer_019eb775-6418-7b7d-8a86-39ff377887e6" xlink:type="arc" order="14"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_PreCommencementIssuerTenderOffer_019eb775-6418-7f2f-a8d6-cabb483344c3" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_PreCommencementIssuerTenderOffer"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_PreCommencementIssuerTenderOffer_019eb775-6418-7f2f-a8d6-cabb483344c3" xlink:type="arc" order="15"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_Security12bTitle_019eb775-6418-769c-88e2-d0aace5f83e3" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_Security12bTitle"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_Security12bTitle_019eb775-6418-769c-88e2-d0aace5f83e3" xlink:type="arc" order="16"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_TradingSymbol_019eb775-6418-761a-ba97-357ff67b642e" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_TradingSymbol"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_TradingSymbol_019eb775-6418-761a-ba97-357ff67b642e" xlink:type="arc" order="17"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_SecurityExchangeName_019eb775-6418-795d-b9c0-ce5a351effc2" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_SecurityExchangeName"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_SecurityExchangeName_019eb775-6418-795d-b9c0-ce5a351effc2" xlink:type="arc" order="18"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityEmergingGrowthCompany_019eb775-6418-7abd-80be-aa82e1f94a28" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityEmergingGrowthCompany"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityEmergingGrowthCompany_019eb775-6418-7abd-80be-aa82e1f94a28" xlink:type="arc" order="19"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_EntityCentralIndexKey_019eb775-6418-7d44-a567-ce1d3b77f2b7" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_EntityCentralIndexKey"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_EntityCentralIndexKey_019eb775-6418-7d44-a567-ce1d3b77f2b7" xlink:type="arc" order="20"/>
    <link:loc xlink:type="locator" xlink:label="loc_dei_AmendmentFlag_019eb775-6418-76b3-9e64-39d484ba9c2f" xlink:href="https://xbrl.sec.gov/dei/2024/dei-2024.xsd#dei_AmendmentFlag"/>
    <link:definitionArc xlink:arcrole="http://xbrl.org/int/dim/arcrole/domain-member" xlink:from="loc_dei_DocumentInformationLineItems_019eb775-6418-76a3-8770-a22773445e2b" xlink:to="loc_dei_AmendmentFlag_019eb775-6418-76b3-9e64-39d484ba9c2f" xlink:type="arc" order="21"/>
  </link:definitionLink>
</link:linkbase>
