He was born in Zerbst, the fourth (but second surviving) son of John VI, Prince of Anhalt-Zerbst, by his wife Sophie Auguste, daughter of Frederick III, Duke of Schleswig-Holstein-Gottorp.
Soon afterwards he began his military career and fought in Italy against France under the command of Johann Karl, Palatine Count of Birkenfeld, and was present at the sieges of Oudenaarde, Grave (1674) and Philippsburg (1676).
Around 1680, Anthony Günther began an affair with the delicate and beautiful Auguste Antonie Marschall of Bieberstein (b. Zerbst, 3 March 1659 – d. Calbe, 28 December 1736), a lady-in-waiting of his mother.
The union only produced a daughter: After his definitive return home, Anthony Günther formally married his beloved Auguste in Zerbst on 1 January 1705; shortly after, she was created "Frau von Günthersfeld."
Because Auguste was born into the lesser nobility, the marriage was morganatic and their daughter Antoinette, legitimized by the wedding, could only assume the surname "von Günthersfeld," her mother's new title.