The Knicks have lost nine in a row for the first time since 2006. They have dropped seven in a row at Madison Square Garden, the longest home losing streak in franchise history.
"I think we're playing to lose rather than playing to win right now," Anthony said after the Knicks' 103-99 loss to New Orleans on Sunday. "When you lose games the way we've been losing them at home, on the road, you start thinking a lot. You start playing a little tense. You start playing on your heels."
Sunday night's loss left the Knicks at 3-13. They are tied with the Milwaukee Bucks for the worst record in the Eastern Conference.
"We just can't seem to get it together," Anthony said after scoring 23 points and getting 10 rebounds. "We can't seem to figure it out."
The Knicks lost to a Pelicans team that was missing Anthony Davis, its best player, for three quarters. Davis left the game with 1:32 to go in the first after suffering a fracture in his left hand.
New York couldn't take advantage of Davis' absence, missing 12 of its final 13 shots and committing three turnovers in the game's final six minutes.
The Knicks' only home win came in the season opener Oct. 30 against Milwaukee.
Coach Mike Woodson admitted the obvious when he said the losing streak is weighing on players.
"I thought coming down the stretch, we played on our heels," Woodson said. "The [eight-game losing streak] we were looking at here was staring at us in the face, [and] instead of relaxing and just playing, we just didn't make one play."
The Knicks have held two closed-door meetings in the past three weeks to try to turn things around. Anthony isn't sure whether another one will help.
"I don't know what we have to do as far as coming together as a group," Anthony said. "I don't know if we've got to sit here for hours and talk and get it all out, but we've got to do something."
Anthony said recently that he worried about the team going into a "dark place." He doesn't think the Knicks are there yet.
"Any time you're fighting an uphill battle, you feel like you're in a dark place," he said. "But we can't go to that place. I've never been to that place. I don't plan on getting to that place."
All the uncertainty has marred the start to a season before which team owner James Dolan told staffers he expects to end with a Knicks championship.
There are no indications that Woodson's job is in jeopardy, although that could change at any moment. The Knicks have dangled Iman Shumpert in trade talks with several teams.
Firings and trades aside, Anthony believes the Knicks' biggest issue is a lack of identity.
"Last year around this time, we had our identity as who we were as a team," he said. "This year we're still searching for who we are as a team and who we're going to be as a team."
Information from ESPN Stats & Information was included in this report. Ian Begley is a regular contributor to ESPNNewYork.com.