We address the problem of detecting an anomalous process among a large number of processes. At each time t, normal processes are in state zero (normal state), while the abnormal process may be in either state zero (normal state) or state one (abnormal state), with the states being hidden. The transition between states for the abnormal process is governed by a Markov chain over time. At each time step, observations can be drawn from a selected subset of processes. Each probed process generates an observation depending on its hidden state, either a typical distribution under state zero or an abnormal distribution under state one. The objective is to design a sequential search strategy that minimizes the expected detection time, subject to an error probability constraint. In contrast to prior works that assume i.i.d. observations, we address a new setting where anomalies evolve according to a hidden Markov model. To this end, we propose a novel algorithm, dubbed Anomaly Detection under Hidden Markov model (ADHM), which dynamically adapts the probing strategy based on accumulated statistical evidence and predictive belief updates over hidden states. ADHM effectively leverages temporal correlations to focus sensing resources on the most informative processes. The algorithm is supported by an asymptotic theoretical foundation, grounded in an oracle analysis that characterizes the fundamental limits of detection under the assumption of a known distribution of the hidden states. In addition, the algorithm demonstrates strong empirical performance, consistently outperforming existing methods in extensive simulations.