Anthony was born to an Italian family in Bentleyville, Pennsylvania, but moved with his family to Cleveland, Ohio, where he studied the trumpet. He played in Glenn Miller's band from 1940 to 1941 and appeared in the Glenn Miller movie Sun Valley Serenade before joining the U.S. Navy during World War II. After the war he formed his own group. The Ray Anthony Orchestra became popular in the early 1950s with "The Bunny Hop", "Hokey Pokey", and the theme from Dragnet. He had a No. 2 chart hit with a remake of the Glenn Miller tune "At Last" in 1952, the highest charting pop version of the song in the U.S.
From 1953 to 1954, Anthony was musical director of the television series TV's Top Tunes, and he also appeared as himself in the 1955 film Daddy Long Legs. In 1955 he married his second wife, actress Mamie Van Doren. Their son Perry Ray was born March 18, 1956. He then began expanding his own acting career. In 1956–1957 he starred in a short-lived television variety show, The Ray Anthony Show. Anthony also appeared in several films during the late 1950s, including The Five Pennies (in which he portrayed Jimmy Dorsey), and Van Doren's movies High School Confidential (as "Bix") and Girls Town. In the 1959–1960 television season, he guest-starred in the episode "Operation Ramrod" of David Hedison's espionage series Five Fingers on NBC. Anthony and his band appeared in the movie The Girl Can't Help It (1956). In 1957, Anthony and his orchestra recorded the music score for the film This Could Be The Night, with vocals performed by Julie Wilson.