Ok, some back story for those who haven't watched from the beginning:
1. Callen's American grandfather had a Romanian man put on trial for war crimes. He was found guilty. His family vowed revenge on Callen's grandfather. They killed Callen's mother when Callen was a little boy, but for some reason, let him and his sister live in foster homes, separately (his sister died when she was 11 years old, but they were split when they were returned to America). Apparently, Callen's father went on a rampage after his mother was killed, from this episode's storyline, he killed 2 members of the family and then discovered a son, whom he decided to raise. Callen's father was a double agent for the KGB and the CIA. Callen's mother was in the CIA and Hetty was her handler for a while.
2. Joelle was initially a set up by Sam and his now deceased wife because they thought Callen deserved a significant other. Unbeknown to Sam and Michelle, Joelle was a CIA agent who worked as a teacher. This was discovered in season 8 when they finally figured out the "Mole" story line that had been running in the background since season 5. Joelle's working with the people who were running interference with NICS LA meant that she was targeted by some bad dudes and she left her family and faked her death, with the help of Callen and is now back doing black ops for the CIA.
3. Anna came in at the end of season 6. She is Arkady's daughter (Arkady worked with Callen long before he joined NCIS and Callen was working with the CIA in Russia). She has been a recurring character and was Callen's girlfriend for a while there. She shot an in-armed arms dealer and killed him and was sent to jail with a 7 year sentence. For some reason, Joelle pulled strings and got her into state jail and not a federal one.
4. Volkoff, he came into the story sometime in season 6 or 7, I think. Arkady was his mentor or at least they worked together in the former KGB. Volkoff helped Callen and Anna and Sam get Arkady and a CIA agent out of a Russian prison in season 7.
Is there anyone I missed?
Feel free to fix any errors if I messed something up, this is all off the top of my head.