No, Norway was under Danish rule until 1814, when Denmark lost it to Sweden after the Napoleonic wars. The Swedes didn't get the Norwegian territories, though (Greenland, Iceland and the Faroe Islands, which is why they're now (former) Danish dependencies).
And technically, it wasn't an "annexation", it was a personal union; Norway retained its own parliament, liberal constitution, government and other institutions, but shared king and foreign policies.
I don't believe Norway has been annexed by Sweden at any other point either; but the King of Norway was elected King of Sweden in the lead up to the Kalmar Union, which united Norway, Denmark and Sweden. But since Norway was seriously weakened after the Black Death, the center power moved to Denmark, and Norway was left more or less as a Danish dependency after Sweden pulled out of the union.