In previous attempts to determine the structure of neutron stars in strong magnetic fields, there has been no study which simultaneously included aspects of general relativity, magnetic field dependent equations of state, and effects of pressure anisotropy on the static and dynamical properties of a high-magnetic-field neutron star. We present a self-consistent study of the structure of a neutron star in strong magnetic fields in full general relativity., including all the magnetic field effects. Starting from a microscopic Lagrangian, we build numerical axisymmetric stationary models and show the applicability of the approach with one exemplary quark matter equation of state.