These Baltimore natives combined for 36 missed shots, and the Raptors prevailed in an ugly game.
They'll try to hand the visiting Knicks a season-high fourth straight loss Friday night.
Toronto (22-33) won 92-88 at New York last Wednesday, and neither one of these players was on target much. Gay made 4 of 21 shots for 11 points while Anthony was 5 of 24 for 12 points to go with 12 rebounds, although the Knicks forward said afterward that he was plagued by a dead arm.
Alan Anderson scored 26 and DeMar DeRozan added 20 to help make up for Gay's woes while J.R. Smith led New York (32-19) with 26 points in a contest that featured 56 free throws and six technical fouls.
The Knicks are enduring their second three-game slide and their lead atop the Atlantic Division has been cut to one game over Brooklyn.
"We got Toronto who played well at our place a week ago, they beat us and they're playing well," New York coach Mike Woodson said.
Anthony didn't fare much better his next time out, making 7 of 21 shots for 15 points as the Knicks suffered their worst loss, 125-91 at Indiana on Wednesday in their first game since the All-Star break.
"We didn't show up," Woodson said. "They whipped our (expletive) from beginning to end."
The coach admitted he is searching for answers on the perimeter since his current starting backcourt features Raymond Felton, a 40.3 percent shooter, and Jason Kidd, who is at 38.9.
"When 'Melo is struggling a little bit and Raymond and Kidd not making shots, that's tough," Woodson said. "We're going to have to work through it and figure it out."
Gay followed up his poor performance against the Knicks with a 24-point effort as Toronto matched a season high with a fifth straight win, 96-88 Washington on Tuesday. He found things more difficult the next night as he made 5 of 15 shots for 13 points in an 88-82 defeat to Memphis, his former team.
Gay said that he needs to adjust to being the focal point of opponents' defenses.
"There's still ways to find to make things happen," Gay said. "You take it as a sign of respect but I think we still could've gotten this win."
The Raptors, who shot 36.6 percent against the Grizzlies, have held each of their last three opponents to 88 points. That's the type of basketball coach Dwane Casey expects to see down the stretch.
"It's about being tough, being strong with the ball, making the right decisions, not playing into the crowd, and playing with that type of mental fortitude," Casey said.
Casey has restored Amir Johnson to his starting lineup the last two games after he gave Landry Fields the start last week in New York. Fields had four points and 10 rebounds in his first game against his former team.
DeRozan had seven points on 1-of-9 shooting Wednesday -- ending a string of three straight 20-point performances -- but his 19.3 scoring average against the Knicks is his highest against any team.