We study the effects of anharmonicity on the physics of the Holstein model, which describes the coupling of itinerant fermions and localized quantum phonons, by introducing a quartic term in the phonon potential energy. We find that the presence of this anharmonic term reduces the extent of the charge density wave phase (CDW) at half-filling as well as the transition temperature to this phase. Doping away from half-filling, we observe a first order phase transition between the CDW and a homogeneous phase which is also present in the harmonic model. In addition, we study the evolution of the superconducting susceptibility in the doped region and show that anharmonicity can enhance the superconducting response.