Sardine is an imprecise term for any number of small, silvery saltwater fish related to the herring and found throughout the world. They tend to travel in large schools close to the water's surface and are harvested fresh in the summer.
Anchovy refers to a family of small fish found in the Mediterranean, the Black Sea, the Pacific and Atlantic coasts. Anchovies are sold flat or rolled, filleted and either salt-cured or oil-packed. In Europe, however, marinated fresh anchovies are eaten frequently, available in restaurants and Spanish, Greek and Italian groceries.