The 26-year-old impressed for a struggling Burnley side throughout 2025-26, scoring nine goals and providing two assists in his 38 games.
Anthony was unable to save them from relegation, however, and has now made the move to Brentford for a reported £15 million, potentially rising to £17m with add-ons.
Brentford have confirmed that the winger has joined on an initial four-year deal, keeping him in West London until 2030.
Speaking to the club’s website, Anthony revealed a conversation with manager Keith Andrews convinced him to make the move.
"I like the way he speaks and the way he wants to play football," said Anthony, talking about the Bees boss. "From the first conversation we had, I knew I wanted to play here.
"It’s also the direction the club wants to go in as well. It’s obviously been a positive few years for Brentford and hopefully we can keep building on that. It’s an opportunity for me to step up and show my ability at this level.
"I’ve been away from London for a long time, so it’s really nice and exciting that I can come home and be around my family and my friends. I’m sure that’ll help me settle in a lot quicker as well."