Blockchain technology has rapidly developed and been widely adopted due to its immutability and decentralized nature. However, the emergence of heterogeneous blockchain platforms has led to the formation of “data silos,” particularly in regional equity regulatory markets where the architectures of regulatory chains and local chains are incompatible. Moreover, identity privacy leakage during cross-chain communication has become a major obstacle to effective supervision. To address these challenges, this paper proposes a cross-chain identity anonymity protection scheme tailored for regulatory scenarios. First, a relay-chain-based cross-chain network is constructed to achieve interconnection between the regulatory chain and multiple local business chains. Then, the scheme employs the Elliptic Curve Digital Signature Algorithm (ECDSA) for identity authentication, ensuring the legitimacy of communication participants. Meanwhile, the Oblivious Transfer mechanism is used to guarantee anonymity during cross-chain transactions by disclosing only the minimum necessary information, thereby preventing identity leakage. Finally, experimental results demonstrate that the proposed scheme achieves excellent performance in terms of security, efficiency, and practical applicability.