In this work, the new ANO-R basis set for all elements of the first six periods is introduced. The ANO-R basis set is an all-electron basis set that was constructed including scalar-relativistic effects of the exact-two component (X2C) Hamiltonian and modeling the atomic nucleus by a Gaussian charge distribution, which makes the basis set suitable for calculations of both light and heavy elements. For high accuracy, it takes advantage of the general contraction scheme and was developed at the CASSCF/CASPT2 level of theory. The distinguishing feature of the ANO-R basis set is its compactness in terms of both primitive and contracted basis functions, thus containing no superfluous functions for a given quality. An optimum number of primitive basis functions was selected based on studying the convergence toward the complete basis set limit for each element individually. The primitive basis sets were then contracted using the density-averaged atomic-natural-orbital (ANO) scheme, and suitable contraction levels were determined solely based on the natural orbital occupation numbers that describe the contribution of each natural orbital to the one-particle density matrix. Rather than following the common "split-valence n-tuple zeta plus polarization functions" structure, the resulting basis sets ANO-R0 to ANO-R3 possess a unique composition for each element, ensuring that no unnecessary functions are included while the basis sets are still balanced across the first six periods (H-Rn).