The Adler-Bardeen non-renormalization is a basic property of anomalies with important physical implications, ranging from particle physics to condensed matter. We prove its validity in lattice models at a non-perturbative level, focusing in particular on fermion-vector boson models in 3+1 and 1+1 dimensions. The proof relies on regularity properties of the Euclidean ground state's correlations combined with lattice Ward Identities.