In a large bowl, combine warm water, sugar, salt, molasses, oil, orange zest, fennel seed, and anise seed.
Stir well, then sprinkle the yeast over the top. Let sit for 5–10 minutes, until slightly foamy.
Stir in the rye flour and all-purpose flour. Mix until a stiff dough forms.
Turn dough out onto a lightly floured surface and knead until smooth and elastic, about 8–10 minutes. (Add a little more flour if dough feels too sticky.)
Shape dough into a ball, place in a greased bowl, cover, and let rise in a warm place until doubled, about 1–1½ hours.
Punch down dough and divide into two equal portions. Shape into loaves and place into greased loaf pans. Cover and let loaves rise again until doubled, about 45-60 minutes.
Bake at 350°F for 45 minutes, until loaves are deep golden brown and sound hollow when tapped.
Remove from pans and cool on wire racks before slicing.