The former Chelsea striker insisted that he remains a part of the team despite his new role, while affirming that the club can still win the league crown
The 33-year-old has been appointed as an assistant to Jean Tigana after the club decided to fire three assistant coaches following a disastrous start to the season.
Shenhua, featuring Australian striker Joel Griffiths, lie in 11th position in the Chinese Super League standings, with just five points from as many matches.
Speaking for the first time in his new role, Anelka - also team captain - said: "I took charge of this morning's training session.
"I trained with my team-mates because I am still a player of this club. I only set up the training programme and did the same as the rest, nothing special.
"Being a coach is not the same as being a player. I will try my best to have good communication with my team-mates. I hope we can pick up a great win in Friday's match against Tianjin Teda.
"It will be very hard when we have so many young players. But nothing is impossible; if we win all of our matches left, we can still be champions."
The former Chelsea striker, who joined Shenhua in December on a free transfer, is also hopeful that the club will improve its infrastructure to provide the team with better conditions.
"No one knows the future, but I am sure that Shenhua will upgrade the training facilities," Anelka said.