Abstract Recently, effificient approximation algorithms for fifinding Nash equilibria have been developed for the interesting class of anonymous games, where a player’s utility does not depend on the identity of its opponents. In this paper, we tackle the problem of computing equilibria in such games with continuous player types, extending the framework to encompass settings with imperfect information. In particular, given the existence result for pure Bayes-Nash equilibiria in these games, we generalise the fifictitious play algorithm by developing a novel procedure for fifinding a best response strategy, which is specififically designed to deal with continuous and, therefore, infifinite type spaces. We then combine the best response computation with the general fifictitious play structure to obtain an equilibrium. To illustrate the power of this approach, we apply our algorithm to the domain of simultaneous auctions with continuous private values and discrete bids, in which the algorithm shows quick convergence