An iterative approach is used to construct spherically symmetric equilibrium models with an anisotropic velocity distribution. The potentialities of the method have been tested on models with known distribution functions, the Osipkov-Merritt models. It is shown that models that differ significantly from the Osipkov-Merritt models can be constructed. An N-body model of a dark halo with a density distribution that approximates the results of cosmological simulations (the Navarro-Frenk-White model) has been constructed. The anisotropy profile has been taken to be similar to that yielded by cosmological simulations. The constructed models can serve as direct input data for investigating the dynamics and stability of such systems in N-body simulations. © 2008 Pleiades Publishing, Ltd.