TL;DR: dependency conflicts: Updating one requires (by its requirements) to downgrade another

You are right:

conda update --all

is actually the way to go¹. Conda always tries to upgrade the packages to the newest version in the series (say Python 2.x or 3.x).

Dependency conflicts

But it is possible that there are dependency conflicts (which prevent a further upgrade). Conda usually warns very explicitly if they occur.

e.g. X requires Y <5.0, so Y will never be >= 5.0

That's why you 'cannot' upgrade them all.

Resolving

Update 1: since a while, mamba has proven to be an extremely powerful drop-in replacement for conda in terms of dependency resolution and (IMH experience) finds solutions to problems where conda fails. A way to invoke it without installing mamba is via the --solver=libmamba flag (requires conda-libmamba-solver), as pointed out by matteo in the comments.

To add: maybe it could work but a newer version of X working with Y > 5.0 is not available in conda. It is possible to install with pip, since more packages are available in pip. But be aware that pip also installs packages if dependency conflicts exist and that it usually breaks your conda environment in the sense that you cannot reliably install with conda anymore. If you do that, do it as a last resort and after all packages have been installed with conda. It's rather a hack.

A safe way you can try is to add conda-forge as a channel when upgrading (add -c conda-forge as a flag) or any other channel you find that contains your package if you really need this new version. This way conda does also search in this places for available packages.

Considering your update: You can upgrade them each separately, but doing so will not only include an upgrade but also a downgrade of another package as well. Say, to add to the example above:

X > 2.0 requires Y < 5.0, X < 2.0 requires Y > 5.0

So upgrading Y > 5.0 implies downgrading X to < 2.0 and vice versa.

(this is a pedagogical example, of course, but it's the same in reality, usually just with more complicated dependencies and sub-dependencies)

So you still cannot upgrade them all by doing the upgrades separately; the dependencies are just not satisfiable so earlier or later, an upgrade will downgrade an already upgraded package again. Or break the compatibility of the packages (which you usually don't want!), which is only possible by explicitly invoking an ignore-dependencies and force-command. But that is only to hack your way around issues, definitely not the normal-user case!

¹ If you actually want to update the packages of your installation, which you usually don't. The command run in the base environment will update the packages in this, but usually you should work with virtual environments (conda create -n myenv and then conda activate myenv). Executing conda update --all inside such an environment will update the packages inside this environment. However, since the base environment is also an environment, the answer applies to both cases in the same way.

root is the old (pre-conda 4.4) name for the main environment; after conda 4.4, it was renamed to be base. source

What 95% of people actually want

In most cases what you want to do when you say that you want to update Anaconda is to execute the command:

conda update --all

(But this should be preceded by conda update -n base conda or simply conda update conda so you have the latest conda version installed)

This will update all packages in the current environment to the latest version -- with the small print being that it may use an older version of some packages in order to satisfy dependency constraints (often this won't be necessary and when it is necessary the package plan solver will do its best to minimize the impact).

This needs to be executed from the command line, and the best way to get there is from Anaconda Navigator, then the "Environments" tab, then click on the triangle beside the base environment, selecting "Open Terminal":

This operation will only update the one selected environment (in this case, the base environment). If you have other environments you'd like to update you can repeat the process above, but first click on the environment. When it is selected there is a triangular marker on the right (see image above, step 3). Or from the command line you can provide the environment name (-n envname) or path (-p /path/to/env), for example to update your dspyr environment from the screenshot above:

conda update -n dspyr --all

Update individual packages

If you are only interested in updating an individual package then simply click on the blue arrow or blue version number in Navigator, e.g. for astroid or astropy in the screenshot above, and this will tag those packages for an upgrade. When you are done you need to click the "Apply" button:

Or from the command line:

conda update astroid astropy

Updating just the packages in the standard Anaconda Distribution

If you don't care about package versions and just want "the latest set of all packages in the standard Anaconda Distribution, so long as they work together", then you should take a look at this gist.

Why updating the Anaconda package is almost always a bad idea

In most cases updating the Anaconda package in the package list will have a surprising result: you may actually downgrade many packages (in fact, this is likely if it indicates the version as custom). The gist above provides details.

Leverage conda environments

Your base environment is probably not a good place to try and manage an exact set of packages: it is going to be a dynamic working space with new packages installed and packages randomly updated. If you need an exact set of packages then create a conda environment to hold them. Thanks to the conda package cache and the way file linking is used doing this is typically i) fast and ii) consumes very little additional disk space. E.g.

conda create -n myspecialenv -c bioconda -c conda-forge python=3.5 pandas beautifulsoup seaborn nltk

The conda documentation has more details and examples.

pip, PyPI, and setuptools?

None of this is going to help with updating packages that have been installed from PyPI via pip or any packages installed using python setup.py install. conda list will give you some hints about the pip-based Python packages you have in an environment, but it won't do anything special to update them.

Commercial use of Anaconda or Anaconda Enterprise

It is pretty much exactly the same story, with the exception that you may not be able to update the base environment if it was installed by someone else (say to /opt/anaconda/latest). If you're not able to update the environments you are using you should be able to clone and then update:

conda create -n myenv --clone base
conda update -n myenv --all