Anthony wanted to be a soccer player but he didn't have the skills so he taught in a school for 10 months until he realized that it wasn't his vocation and then spent some years working in a shoe store before moving to New York where he spent time as a barman and a sprinkler system installer to earn money for acting classes. By 1988 he was on the New York stage and was seen by a casting director who some time later put him in Frasier as Simon Moon.