It is commonly believed that the current response of an electron fluid to a mechanical force (such as an electric field) or to a ``statistical force (e.g., a gradient of chemical potential) are governed by a single linear transport coefficient - the electric conductivity. We argue that this is not the case in anomalous Hall materials. In particular, we find that transverse (Hall) currents manifest two distinct Hall responses governed by an unconventional {it transverse} Einstein relation that captures an anomalous relation between the Hall conductivity and the Hall diffusion constant. We give examples of when the Hall diffusion anomaly is prominent, resulting in situations where the transverse diffusion process overwhelms the Hall conductivity and vice versa.
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