Attack on Titan: Lost Girls was originally a pair of visual novels from Nitroplus and anime screenwriter Hiroshi Seko, released with volumes 3 and 6 of the original TV anime’s Blu-ray release in 2013 (Mikasa’s “Lost in the Cruel World” and Annie’s “Goodbye Wall Sina”). In 2014, Seko expanded these into a prose novel (released in North America by Vertical).
The rest of Annie’s story will be told in anime form when the Attack on Titan: Lost Girls adaptation continues next month.
In 2015, it became a manga from Ryōsuke Fuji (released in North America by Kodansha Comics).
進撃の巨人「Wall Sina, Goodbye(アニ外伝)」後編予告編【DVD付き限定版コミックス25巻 2018/04/09 発売!】