Anthony, who sat out the fourth quarter, was 9 of 18 from the floor and also grabbed eight rebounds in 30 minutes. The second-leading scorer in the NBA has scored at least 29 points in his last four games, including 35 points and 13 rebounds in a 96-89 overtime loss at Brooklyn on Monday.
New York's Steve Novak added 19 points and Tyson Chandler chipped in with 17 points and eight rebounds for the Knicks, who snapped a three-game road losing streak.
Jason Kidd missed his second game in a row for New York with lower back spasms.
Milwaukee's Brandon Jennings and Beno Udrih each scored 18 points.
The Bucks, who have lost four of their last five games, also got 17 points and seven assists from Monta Ellis.
Milwaukee overcame a 27-point, second-half deficit to beat Chicago on Monday, but there was no rally this time after giving up the first 10 points of the second half to fall behind 68-48 on Anthony's short jump shot with 9:38 to play.
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Milwaukee responded by scoring the next seven points, including a layup by Larry Sanders to trim the margin to 68-55 with 7:32.
The closest the Bucks would get was 98-86 with 2 minutes left in the game on a basket by Udrih.
The last time Milwaukee led was 31-30 on a layup by Udrih with 8:25 remaining in the second quarter. New York had a 45-44 edge before using a 9-0 run to take control. It started with a 3-pointer by Anthony.
Three straight turnovers by Milwaukee all led to layups, including one by Raymond Felton for New York's biggest lead of the first half, 54-44, with 55 seconds left.
NOTES: New York improved to 5-4 on the road. The Knicks are 5-0 at home. . John Henson made his second start for Milwaukee. The rookie also did Monday for the first time. Milwaukee coach Scott Skiles used his third different starting lineup in three games. He used the same starting five for the first 10 games. . Kurt Thomas also made his second start for New York. He did not play in three of the previous five games. . Three of the next four Bucks' games are on the road.
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