Despite the many attempts and approaches for anomaly de- tection explored over the years, the automatic detection of rare events in data communication networks remains a com- plex problem. In this paper we introduce Net-GAN, a novel approach to network anomaly detection in time-series, us- ing recurrent neural networks (RNNs) and generative ad- versarial networks (GAN). Different from the state of the art, which traditionally focuses on univariate measurements, Net-GAN detects anomalies in multivariate time-series, ex- ploiting temporal dependencies through RNNs. Net-GAN discovers the underlying distribution of the baseline, multi- variate data, without making any assumptions on its nature, offering a powerful approach to detect anomalies in com- plex, difficult to model network monitoring data. We further exploit the concepts behind generative models to conceive Net-VAE, a complementary approach to Net-GAN for net- work anomaly detection, based on variational auto-encoders (VAE). We evaluate Net-GAN and Net-VAE in different monitoring scenarios, including anomaly detection in IoT sensor data, and intrusion detection in network measure- ments. Generative models represent a promising approach for network anomaly detection, especially when considering the complexity and ever-growing number of time-series to monitor in operational networks.