Detecting out-of-distribution examples is important for safety-critical machine learning applications such as selfdriving vehicles. However, existing research mainly focuses on small-scale images where the whole image is considered anomalous. We propose to segment only the anomalous regions within an image, and hence we introduce the Combined Anomalous Object Segmentation benchmark for the more realistic task of large-scale anomaly segmentation. Our benchmark combines two novel datasets for anomaly segmentation that incorporate both realism and anomaly diversity. Using both real images and those from a simulated driving environment, we ensure the background context and a wide variety of anomalous objects are naturally integrated, unlike before. Additionally, we improve out-of-distribution detectors on large-scale multi-class datasets and introduce detectors for the previously unexplored setting of multi-label out-of-distribution detection. These novel baselines along with our anomaly segmentation benchmark open the door to further research in large-scale out-of-distribution detection and segmentation.