In this paper, we propose an efficient channel estimation scheme in bi-directional wireless orthogonal frequency division multiplexing (OFDM) relay systems applying analog network coding (ANC). In the relay systems applying ANC, channel separation is needed to estimate each of the bi-directional channels simultaneously from the combined received signal. In the conventional channel estimation schemes, relatively higher-ratio pilots are needed to obtain accurate channels. In contrast, we propose a channel estimation scheme with sparse pilots, while maintaining high accuracy for channel estimation. In the proposed scheme, Walsh codes are inserted as the pilot symbols at both end nodes, and the individual channels are obtained by correlation processing from the combined signals. The improved bit error rate (BER) and throughput performances of the proposed scheme are shown through computer simulations.