What is an "anecdote" as opposed to a "joke"?

I've always thought that an anecdote was a short funny story that had actually never happened, but was rather created by common people in order to satirize, ridicule or to laugh at someone. But recently I noticed that native English speakers usually call it simply "joke". For example "Let me tell you a joke. One day a French, an American and an Italian meet at one restaurant..." If it's really the case, then what is an anecdote then? Would the word "anecdote" mean something else or, perhaps, something more specific for native English speakers? How often they use this word?

Solution 1:

Anecdote is a very common false friend for native speakers of Russian (and other Slavic languages, I believe). In Russian, анекдот means exactly what you describe: "a short fictitious funny story, a joke". In English, it does not. Here's the Merriam-Webster definition:

a usually short narrative of an interesting, amusing, or biographical incident

And here's what Wiktionary has to say:

1. A short account of an incident, often humorous.
2. An account which supports an argument, but which is not supported by scientific or statistical analysis.
3. A previously untold secret account of an incident

Solution 2:

An anecdote is a short story that actually happened, traditionally (but not necessarily) one that happened to the speaker.

On the other hand, a joke is an amusing story¹, traditionally (but not necessarily) one that is made up.

Quick chart:

            Humourous   | Not Humorous
Real     | Either word2 |   Anecdote
Made Up  |    Joke      |   Fiction

¹ Since you mentioned satire and ridicule, that would typically be a joke, but a joke may simply be funny without being satirical or ridiculous.

² Typically, though, this would be an anecdote.