Me and my partner had unprotected anal followed by vaginal sex,a day or two later he developed swelling, redness and a bad smell in his private parts me on the other hand was feeling real itchy and sore.
4days on(today) his swelling,redness and smell have gone down but his skin is peeling of and am still a bit sore from the scratching.

I no I didn't cheat and my partner says he hasn't either and I believe him.my question is were could we have picked it up or was it caused by the anal sex?

Anal sex is never known to be clean. I can't begin to tell you all the swell diseases you expose yourself to when you practice this form of sex. If your symptoms do not go away, please see a doctor as you could have given yourselves a swell infection. Plus anal then vaginal is NOT a good idea. You are just spreading nasty stuff inside your body!

Actually since some STD's may hide for a bit if not treated, it may be better if they go to their doctor or to the local health department and find out what it is.

Yes, as noted NEVER anal and then vaginal, if you are going to do both, the other order, and it should be protected using new condoms

Could very well have to do with E-Coli since it is found in the rectum and can be spread to the vaginal area. Only way to know for sure is to have it checked out by a doctor.