Automated organ segmentation in CTs is an essential prerequisite for many clinical applications, such as computer-aided diagnosis and intervention. As medical data annotation requires massive human labor from experienced radiologists, how to effectively improve the segmentation performance with limited annotated training data remains a challenging problem. Few-shot learning imitates the learning process of humans, which turns out to be a promising way to overcome the aforementioned challenge. In this paper, we propose a novel anatomical knowledge embedded few-shot network (AKFNet), where an anatomical knowledge embedded support unit (AKSU) is carefully designed to embed the anatomical priors from support images into our model. Moreover, a similarity guidance alignment unit (SGAU) is proposed to impose a mutual alignment between the support and query sets. As a result, AKFNet fully exploits anatomical knowledge and presents good learning capability. Without bells and whistles, AKFNet outperforms the state-of-the-art methods with 0.84-1.76% Dice increase. Transfer learning experiments further verify its learning capability.