Anthony has reached 40 points twice and 30 points three other times in his last seven games. He made five 3-pointers Wednesday and helped New York bounce back from a loss to Boston Tuesday.
The Knicks, who are in seventh place in the Eastern Conference, increased their lead over ninth-place Milwaukee to 3 1/2 games. New York has four games left and Milwaukee has five.
J.R. Smith came off the bench to score 15 points for the Knicks.
Anthony had 21 points in the opening quarter, one night after producing the second triple-double of his career. He made 8-of-10 in the first period, including all four of his tries from beyond the arc.
Gerald Wallace, who had missed four games with a hamstring strain, led New Jersey with 21 points.