The Speaker
The main character in the poem is the speaker. We do not learn anything about her except that she is likely having a conversation with someone, or answering a question from a young child. She muses that not only has she never seen the wind, she has never met anyone else who has either. She just knows that it is there because she sees the movement it causes in the trees, and characterizes the wind as something that terrifies the leaves.
Un-named You
Since "Who has seen the wind?" was written as a nursery rhyme, we might surmise that the "you" referred to in lines 2 and 5 is a young child.
The Wind
Although the wind never has the chance to speak, it might be included as an anthropomorphic character in the poem since it is the one causing the action. The wind causes the leaves to "hang trembling" on the tree as it passes through.
The trees/leaves
Just like the wind, Rossetti also gives the trees and their leaves an anthropomorphic treatment, making them characters in the poem. Since leaves are not human, they do not actually "tremble," and trees do not actually "Bow down their heads." These are anthropomorphic images that allow readers to imagine the scene better, and in the process make characters out of inanimate objects.
