Retrieval-Augmented Generation (RAG) has become a dominant paradigm for mitigating hallucinations in Large Language Models (LLMs) by incorporating external knowledge. However, existing RAG systems often struggle to effectively integrate and reason over key evidence scattered across noisy retrieved documents, particularly in multi-hop scenarios. In this paper, we propose KAIR, a Knowledge Anchoring framework for Iterative Retrieval that anchors knowledge within retrieved knowledge to guide LLMs to locate the key information. During iterative retrieval, KAIR progressively updates the knowledge index to anchor salient evidence from retrieved documents. The evolving index serves as a navigational anchoring index that enables the LLM to assess knowledge sufficiency and formulate subsequent retrieval queries. Finally, KAIR generates answers by jointly leveraging the retrieved documents and the finalized anchoring index. Experiments on four multi-hop question answering benchmarks demonstrate that KAIR consistently outperforms strong RAG baselines. Further analysis shows that KAIR effectively anchors key knowledge and alleviates the context noise during iterative retrieval, improving the LLM's ability to associate and reason over dispersed evidence across retrieved documents. All code and data are available at https://github.com/NEUIR/KAIR.