Anthony scored 41 points, making 17-of-28 from the field and grabbing 14 rebounds. He produced 18 points during the third period, during which the Knicks outscored the Bucks 42-21.
Anthony piled up 50 points at Miami Tuesday and had 40 in a victory over Atlanta Wednesday.
J.R. Smith came off the bench to score 30 points, bringing the Knicks back from an early 10-point hole.
Milwaukee, which has lost seven out of nine, was led by Brandon Jennings with 25 points.
The Bucks' lead over Philadelphia for the final playoff spot in the Eastern Conference was trimmed to five games.