Using functional methods and the exact renormalization group we derive Ward identities for the Anderson impurity model. In particular, we present a non-perturbative proof of the Yamada-Yosida identities relating certain coefficients in the low-energy expansion of the self-energy to thermodynamic particle number and spin susceptibilities of the impurity. Our proof underlines the relation of the Yamada-Yosida identities to the U(1) x U(1) symmetry associated with particle number and spin conservation in a magnetic field.