After being released by Cardiff, he joined Bristol Rovers on 1 July 2006, linking up with former Cardiff manager Lennie Lawrence. After being an unused substitute for the first three matches, Anthony made his Rovers debut in a 1–0 victory over Grimsby Town in a League Two match on 12 August 2006. On 17 October 2006, he scored his first goal for Bristol Rovers against Torquay United in the first round of Football League Trophy. Despite being restricted to twenty-three appearances in his first season, due to a knee injury, Anthony signed a contract extension with Rovers, keeping him at the club until 2009. Forming a partnership with the club's established defensive players Craig Hinton and Steve Elliott, Anthony was part of a Rovers defence that conceded fewer goals at home than any other League Two side during the 2006–07 season. Finishing in sixth place, the team won promotion after defeating Shrewsbury Town in the 2007 Football League Two play-off Final.