I was hoping to get a quick clarification of the rules. If my civilization is currently in anarchy and I build the pyramids with one of my cities. Since I am now immune to anarchy (due to the effects of the pyramid) does my government immediately switch out of anarchy and I can still use my capitol in the city management phase? Or do I have to wait till the next turn to change my government?

Cheers.

governments only change during the start of turn phase, except to anarchy. This can happen anytime.