Reportedly, he learned the retailing business by working for the J. C. Penney retail chain. Anthony and Penney first met in St. Louis in 1904, when both were buying merchandise from the same wholesale dealer's warehouse. They continued to meet each other at the same place for the next nine years, and clearly each impressed the other. Over time, Penney tried to recruit Anthony to join his chain of stores. However, Penney offered only $75 per month plus a share of the profit. J. P. Martin was already paying Anthony a flat rate of $125 per month. By 1916, Anthony decided he could soon earn more with Penney's method, when he became a partner in one of the Penney stores. Anthony resigned from the Martin company and moved to southern Idaho as assistant manager of a Penney's store. However, Anthony could not raise enough cash to buy a third of the store, so he was unable to become a full manager. Plus, the Idaho winter was difficult for the family, and the lack of a Protestant church in the predominantly Mormon town of Grace, Idaho, was frustrating to his wife. So, he resigned from the Penney organization and returned to his former job in Cleveland, Oklahoma.