Anthony was raised in Jackson Heights where he attended Our Lady of Fatima Elementary School. In the fall of 1988, he enrolled in Monsignor McClancy High School. As a four-year baseball star, Anthony achieved two city championships as well as two All-City honors. He also was the winning pitcher at Yankee Stadium in the City Championship Game.
Upon graduating from McClancy, Anthony received a four-year athletic scholarship to play baseball at the University of North Carolina at Greensboro. As a freshman, he was 5-0 and was named a Freshman All-American. In four years, he compiled a record of 29-14.
Anthony has been married to his wife, Valerie, since September 2000, they now reside in Staten Island.