Was the doctrine of 'Anatta', accepted as doctrine by modern Buddhism, actually taught by the Buddha? Understanding of 'Anatta' is key to so much Buddhist meditation practice and philosophy that I've been exposed to but (call me conservative) I gain great confidence when the Buddha himself had something direct to say about the term / concept. There seems to be common consensus that 'anatta' means there is no abiding self / Self. Christopher Titmuss in his list of what the Buddha did not teach says:


  No-Self. The Buddha remained in noble silence when asked whether there was a self or no self. He simply stated that body, feelings, perceptions, mental formations, including thoughts, and consciousness were not oneself and did not belong to self. he taught not self as vehicle for liberation from misperception. Anatta literally means ‘not-self’; if the buddha had meant ‘no self’ he would have said ‘na-atta’. What the Buddha did not teach


Having studied Avaita Vedanta for some years, I recognise Buddha's early approach as pure self-inquiry i.e. recognising that the self is not in any of the skandhas, that we normally identify with, which leads to directly to the real Self.

Is it true that there no support in Digha, Majjhima, Samyutta, Anguttara, or Khuddaka Nikayas for the commonly held doctrine?

I feel this is an important question as this view has implications for the commonly held view that Buddhism is humanist, nihilistic, compatible with atheism, secular etc., when the Buddha himself held no such position.
"Was the doctrine of 'Anatta', accepted as doctrine by modern Buddhism, actually taught by the Buddha?"

Anatta -- "not self" -- is a doctrine broadly present in the discourses preserved and currently available.

"Is it true that there no support in Digha, Majjhima, Samyutta, Anguttara, or Khuddaka Nikayas for the commonly held doctrine?"

There's no reasonable support for any doctrine of self in the collections above (and, just for completeness, there's no declaration "there is no self" in them as well, but more on that below).

The episode Christopher Titmuss refers to is probably the following:


  Then the wanderer Vacchagotta went to the Blessed One and, on arrival, exchanged courteous greetings with him. After an exchange of friendly greetings &amp; courtesies, he sat to one side. As he was sitting there he asked the Blessed One: "Now then, Venerable Gotama, is there a self?"
  
  When this was said, the Blessed One was silent.
  
  "Then is there no self?"
  
  A second time, the Blessed One was silent.
  
  Then Vacchagotta the wanderer got up from his seat and left.
  
  -- SN 44.10


The Buddha then proceeds to explain why he did not answer (another explanation is given in SN 44.7):


  "Ananda, if I — being asked by Vacchagotta the wanderer if there is a self — were to answer that there is a self, that would be conforming with those brahmans &amp; contemplatives who are exponents of eternalism [the view that there is an eternal, unchanging soul]. If I — being asked by Vacchagotta the wanderer if there is no self — were to answer that there is no self, that would be conforming with those brahmans &amp; contemplatives who are exponents of annihilationism [the view that death is the annihilation of consciousness]. If I — being asked by Vacchagotta the wanderer if there is a self — were to answer that there is a self, would that be in keeping with the arising of knowledge that all phenomena are not-self?"  
  
  — "No, lord."  
  
  "And if I — being asked by Vacchagotta the wanderer if there is no self — were to answer that there is no self, the bewildered Vacchagotta would become even more bewildered: 'Does the self I used to have now not exist?'"


This knowledge ("that all phenomena are not-self") is famously repeated in the tilakkhaṇa formula:


  all conditioned phenomea are impermanent (sabbe saṅkhārā aniccā'ti)
  all conditioned phenomena are suffering (sabbe saṅkhārā dukkhā'ti)
  all phenomena are non-self (sabbe dhammā anattā'ti.)
  
  -- AN 3.136 (Bodhi, trans)


Commenting on it, Richard Gombrich -- an Indologist -- writes:


  The third hallmark is very often mistranslated (sometimes by me too, in the past) as 'not having a self or essence'. That is indeed how later Buddhists came to interpret it, but that was not its original meaning -- in fact, it is doubly misleading. Both Pali grammar and a comparison with the Vedānta show that the word means 'is not ātman' rather than 'does not have ātman'. However, as time went by the term was taken as a possessive compound and also taken to refer to everything, so that it became the one-word expression of Buddha's anti-essentialism.
  
  -- What The Buddha Taught, pg 70


Then, some people find themselves understanding that the Buddha advocated annihilationism (because of anatta), or eternalism (as some sort of occult teaching of a real Self behind his words). But the most obvious answer to these understandings is his own words, since he explicitly rejected both.

Among his many self-doctrine refutations, my favorite is this:


  "Bhikkhus, you may well cling to that doctrine of self that would not arouse sorrow, lamentation, pain, grief, and despair in one who clings to it. But do you see any such doctrine of self, bhikkhus?"
  —"No, venerable sir."
  —"Good, bhikkhus. I too do not see any doctrine of self that would not arouse sorrow, lamentation, pain, grief, and despair in one who clings to it."
  
  -- MN 22