Bessel-Gauss beams are known as non-diffracting beams. They can be obtained by focusing an annularly shaped collimated laser beam. Here, we report for the first time on the direct measurement of the phase evolution of such beams by relying on longitudinal-differential interferometry. We found that the characteristics of Bessel-Gauss beams cause a continuously increasing phase anomaly in the spatial domain where such beams do not diverge, i.e. there is a larger phase advance of the beam when compared to a referential plane wave. Simulations are in excellent agreement with measurements. We also provide an analytical treatment of the problem that matches both experimental and numerical results and provides an intuitive explanation.