Anthony was the creator, producer, and editor of Walking the Room, a podcast that he co-hosted with comedian Greg Behrendt from 2010 to 2014. The two became friends over two decades ago during the early days of Anthony's stand-up career. They hosted a show together on the Comedy World Radio Network in 2001 and collaborated again on The Greg Behrendt Show in 2006–2007. He currently co-hosts the podcast The Dollop with comedian Gareth Reynolds.
Anthony has had numerous roles in television, films and commercials, and has been a guest on various late night shows and podcasts. He was a contributing writer for the SuicideGirls and Comedy Film Nerds websites, and had a blog called Stop All Monsters. He has done stand-up all over the world and frequently performs around Southern California. He is also currently a writer, most recently on AMC's Talking Dead and on IFC's Maron for which he was nominated for a WGA Award in 2015.