Anderson made 34 saves for his first shutout of the season, Jason Spezza scored twice and the Senators beat the surging Rangers 3-0 on Thursday night.
Milan Michalek also scored for the Senators, who have won five straight at Madison Square Garden and seven of eight (7-0-1) overall.
"He's just so steady back there right now and you can tell he's got confidence," Spezza said. "When your goalie exudes that type of confidence, the team has that type of confidence. He's done a great job calming things down when we're scrambling a little bit. There's times in the game where the other team is going to take momentum, and he's done a good job of taking it back."
Anderson did that in posting his 17th career shutout and first since a 44-save effort against Washington on March 25.
During a busy first period in which the Rangers recorded 11 of the first 14 shots and took 12 straight, Anderson made two key saves on the same sequence 5 1/2 minutes in. He made a toe stop on Derek Stepan's shot and then sprawled across the crease to get his left pad on Marc Staal's backhand attempt on the rebound.
"If they get that one early, I think it's a different hockey game," Anderson said. "I just tried to get back into position, stretched out my leg and was fortunate enough to make the save."
Those stops were part of a night in which Anderson improved to 7-0-1 in his last eight games. The Senators are 10-1-2 in their last 13.
"Andy (Anderson) played real well for us," Ottawa coach Paul MacLean said. "I think there was one play in the first period, I thought there was a second or third opportunity for them, but for the most part we kept it to one and done."
New York (27-10-4), which entered with the most points in the NHL, had won five straight and 10 of 11. They received little from leading scorer Marian Gaborik, who didn't record a shot on goal for the third time this season.
"They're a team that has been outworking a lot of teams, and they grind you down," Spezza said. "I thought we were right there with them competing and not giving up any ground. Andy played great."
Anderson also made a point-blank stop on Brad Richards about seven minutes into the third, and another about a minute later on Stepan.
"I'm just doing my job, stop the puck," Anderson said. "The guys were great in front of me, cleaning up a lot of loose ends that I was leaving out there. It just allowed me to see the puck as best I could."
Ottawa was one of only three teams without a shutout this season, but the Senators posted their fourth blanking in 37 games at New York. The Chicago Blackhawks and New York Islanders are the only remaining teams without a shutout this season.
Lundqvist made 21 saves for the Rangers, who had their fourth winning streak of at least five games stopped. Lundqvist had allowed just eight goals in his previous seven games, but gave up three for the first time since Dec. 15 in St. Louis.
Spezza got the Senators going with a nifty wrist shot from the right circle. Spezza skated into the Rangers zone, after defenceman Chris Phillips beat Brian Boyle to a loose puck in the Ottawa end, and beat Lundqvist on a partial screen 8:54 into the second.
"They are a skilled team, especially when they are on odd-man rushes. They are able to make some good plays," Lundqvist said.
Michalek pushed the lead to 2-0 and sent many fans heading to the exits when he scored his 23rd goal. Michalek beat Lundqvist to the glove side with a wrist shot from the low slot with 6:02 remaining. Less than two minutes later, Spezza scored off a rebound during a power play to make it 3-0 with 4:27 left.
The Rangers were blanked for the first time since a 1-0 loss to Dallas on Dec. 13. They also were handed their fourth regulation loss at home in 19 games (13-4-2).
"We have had success in the last bunch of games and obviously throughout the year, but it still feels terrible to lose," Rangers centre Brian Boyle said. "It's the worst."
NOTES: New York C Brandon Dubinsky missed the game because of a sore right shoulder, and LW Wojtek Wolski took his place in the lineup. Dubinsky was injured Tuesday during a shootout win against Phoenix when he was hit by Coyotes forward Taylor Pyatt in the first period. "He's sore," Rangers coach John Tortorella said. "I just want to get him healthy so it doesn't turn into a bigger thing." Wolski played for the first time since Nov. 3. He had been a healthy scratch the previous two games after missing 27 games because of a hernia. ... Ottawa All-Star D Erik Karlsson returned after sitting out Tuesday's game in Pittsburgh because of an upper body injury. He earned assists on the final two goals.