Anthony netted four of his points in the overtime as the Knicks -- who had squandered a 10-point lead in the third quarter -- went on a 6-1 run to secure their season-best fifth straight win.
Raymond Felton chipped in 19 points for New York, which used a tough defense to hold Phoenix to 35.5 percent shooting from the field.
Goran Dragic pumped in 28 points and grabbed eight rebounds for the Suns, who lost for the fourth time in five road games.
Leandro Barbosa provided 21 points off the bench.
Notable deaths of 2014 [PHOTOS]
Michael Sam cut from the Dallas Cowboys