To make the dressing, add mayonnaise, mustard, Worcestershire sauce, garlic, lemon juice, salt, pepper, and anchovies to a blender. Blend until smooth.
Switch to Low speed and slowly drizzle in extra virgin olive oil through the opening in the top. Once emulsified, add parmesan and blend on low speed until combined. Taste and season with salt and pepper to taste.
Transfer the dressing to an airtight container or jar. Store in the fridge for up to 2 weeks.