This disclosure relates generally to anomaly detection, and more particularly to system and method for detecting anomalies. In one embodiment, the method includes executing at least one thread associated with the application. Executing the at least one thread results in invoking one or more methods associated with the at least one thread. During the execution metrics associated with the one or more methods are captured. The metrics are systematically arranged in a data structure to represent a plurality of thread-method pairs and the metrics corresponding to each of the plurality of thread-method pairs. One or more anomalies associated with the one or more methods are identified from the data structure based on a detection of at least one predetermined condition in the data structure. An anomaly of the one or more anomalies includes one of un-exited anomaly, an exception anomaly and a user-defined anomaly.