We are also running into this when upgrading from mypy 0.782 to 0.790. It seems that lambdas now have no-any-return applied to them, which can lead to a bunch of errors with --check-untyped-defs.

The original issue reproes for me on v0.782 (and older), which suggests you're seeing something slightly different. Regressions are often easier to fix (if it is a regression), so would be useful if you could post a minimal repro of what you're seeing.

Split off into #9656.

I had a little dig through the code, and have found that the behaviour forks in visit_lambda_expr():
https://github.com/python/mypy/blob/master/mypy/checkexpr.py#L3487

When it evaluates the lambda in the second form (i.e. assigned to a variable), inferred_type is None, but when used inline it appears as def (<Erased>) -> <Erased>. The warning is then only triggered in the else block, so does not occur in the second form.

Another repro case:

from typing import Any, Callable, TypeVar

T = TypeVar('T')

def producer() -> Any:
    return 1

def call(callee: Callable[[], T]) -> T:
    return callee()

call(lambda: producer())

% mypy --strict 1.py
1.py:11: error: Returning Any from function declared to return "object"

Note that this only seems to fire with Any. If I change return type of producer to int the error disappears.

FWIW this works on current master (due to special-casing of object for this error).