It's in the header...

use AnyEvent::Loop;
use AnyEvent::HTTP;
http_get 'http://yahoo.com', sub { my ($body, $hdr) = @_; die $hdr->{U
+RL} };
AnyEvent::Loop::run;
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And if it wasn't, or there is other information you'd like to use.. capture it as a closure when the sub is defined.. for instance:

use AnyEvent::Loop;
use AnyEvent::HTTP;
use feature 'say';
for my $url ('yahoo.com', 'google.com') {
        http_get "http://$url", sub { say STDERR $url };
}
AnyEvent::Loop::run;
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Two separate callback subs are created, and in each of them $url will be set to the value it held when the http_get was run.