It is the second year in a row that authorities say they have intercepted an attack linked to the holiday.
Anzac Day commemorates the first major battle involving Australian and New Zealand forces during World War One.
The 16-year-old was denied bail and is due to appear in a children's court on Monday.
If convicted he faces life in prison.
'Part of a pattern'
Officers allege the 16-year-old was planning to attack a dawn ceremony in Sydney. They arrested him near his home in the suburb of Auburn.
Police believe he was acting alone but gave few other details.
The ceremony, attended by thousands of people including veterans, happened without incident.
Justice Minister Michael Keenan said the age of the suspect was troubling but not surprising.
"Unfortunately, this is part of a pattern that we have been observing, where younger and younger people are targeted and incited to go and commit an act of terror," he told reporters in Perth, according to the Associated Press news agency.
Last October, a 15-year-old British boy was sentenced to life in prison for plotting to behead police officers at an Anzac Day parade in Australia.