* As a historical term referring to a group of people: Yes, it's a proper noun. You would capitalize it: "The Anglo-Saxons were a Germanic people who settled in Britain."
* As a general term for people from England: No, it's not a proper noun. You wouldn't capitalize it: "She was born and raised in England, so she's considered Anglo-Saxon."
The key is understanding the specific meaning being conveyed. If you're talking about the historical people, it's proper. If you're using it as a general term, it's not.