With ArcGIS Pro 1.3, conda is included as part of the base Python installation. If you can wait, this is probably the easiest way to integrate the two as the shipped environment will provide a consistent set of packages used by the application.
If you'd like to work with your Anaconda environment today, you can do so but it can be problematic — you need to ensure that packages used by the application match the versions installed into your Anaconda environment. Particularly, the NumPy version must match the version used within Pro. You can then try adding the
ArcGISPro.pth file as mentioned in the commends by @Luke. Curtis Price has also written up an extensive guide on integrating Anaconda with ArcGIS that you may find of use.