A late surge in the second quarter gave the Knicks a 10-point lead at the break and New York then scored the first 10 points of the third period.
Steve Novak contributed a season-best 19 points for the Knicks, hitting 5-of-7 from 3-point range. New York played its second straight game without point guard Jason Kidd, who sat out with back spasms.
Milwaukee, losers of four out of five, was led by Brandon Jennings and Beno Udrih with 18 points each.
New York went 11-of-19 from 3-point range with Anthony hitting two from beyond the arc.