Rangers forward Chris Kreider lost an edge and crashed into Anderson 1:43 into the final period. Anderson could not put any weight on the leg as he was helped off the ice. He was replaced by backup Ben Bishop and is listed as day to day.
Anderson stopped all 21 shots he faced before the injury and left with a 1-0 lead.
Bishop allowed two goals in a span of 51 seconds midway through the third period, but after Mika Zibenajad's late goal tied the game, Bishop stopped six of seven shots as the Senators won 3-2 in a shootout.
Anderson is having his best season in the NHL and entered Thursday's game leading the League with a .950 save percentage. In his 14 starts before Thursday, he allowed more than two goals just three times. He has two shutouts and allowed just one goal six times.
The Senators are already playing without their best defenseman, Norris Trophy winner Erik Karlsson, and top-line forwards Jason Spezza and Milan Michalek.