Anthony married Stila cosmetics creator Jeanine Lobell on September 5, 1994. They met when she was the make-up artist on the set of a film he starred in, Pet Sematary II (1992). They have four children together: son Bailey (b. 1994) and daughters Esme (b. 1996), Wallis (b. 2000), and Poppy (b. 2002).