Anthony was accepted into and graduated from Vancouver Film School's acting program.[2] She later turned her focus to filmmaking, attending Capilano University's School of Motion Picture Arts in the Indigenous Independent Digital Filmmaking Program.[3] For her graduation project, Anthony created a short film that would become the inspiration for her debut feature film, Brother, I Cry.[2]
Anthony's 2020 feature film Brother, I Cry follows Jon, an Indigenous father-to-be as he tries to stay sober and out of jail, and his relationship with the women in his life; his sister, mother, and girlfriend. The story was inspired by Anthony's brother's addiction, her cousin's overdose, and her connection to the spirit world.[4]Brother, I Cry had its world premiere at the Vancouver International Film Festival and was made in Telefilm’s Talent to Watch program.[5] At the festival, the film earned Anthony the B.C. Best Emerging Filmmaker Award. Anthony's production company, Pass Through Productions Inc. also released El Color Negro at the 2020 VIFF.[6]
In 2019, Anthony and Mary Galloway won the APTN/imagineNATIVE Web Series Pitch Competition for the LGBTQ+ web series Querencia. They received additional funding for the project through the Canadian Film Academy’s Telefilm Talent to Watch, which allowed them to expand the series.[7]
In 2020, Jessie Anthony was selected as a mentor by the Indigenous Screen Office (ISO) for its Netflix Apprenticeship and Cultural Mentorship Program. Anthony mentored Saddle Lake Cree Nation filmmaker Tanis Redcrow on the set of Querencia.[8][9]
Anthony was selected as part of the pilot program for the ISO-DGC Director Fellowship Program. In 2022, Anthony was mentored by Dana Gonzalez on the set of the Handmaid's Tale.[10]