Compared with conventional anti-reflective film, an anti-reflective sub-wavelength surface structure provides an ideal choice for a sapphire optical window especially in harsh environments. However, it is still a challenge to obtain a sapphire anti-reflective surface microstructure because of its high hardness and chemical inertness. In this paper, combined with optical simulation, we proposed a facile method based on the anodic oxidation of aluminum film and following epitaxial annealing. Al thin film was deposited on a sapphire substrate by magnetron sputtering, and anodic oxidation was then performed to prepare surface pore-like structures on the Al film. Followed by two-step annealing, both the anodic oxidized coating and underlying unoxidized Al film were transformed totally into alumina. The parameters of anodic oxidation were analyzed to obtain the optimal pore-like structures for the antireflection in the mid-infrared and visible spectrum regions, respectively. Finally, the optimized surface sub-wavelength nanostructure on sapphire can increase the transmittance by 7% in the wavelength range of 3000-5000 nm and can increase 13.2% significantly for visible spectrum region, respectively. Meanwhile, the surface wettability can be also manipulated effectively. The preparation of surface pore-like sub-wavelength structure by the annealing of anodic oxidized aluminum film on sapphire is a feasible, economical and convenient approach and can find the applications for various optoelectronic fields.