He scored 11 points and had three rebounds and six assists in 37 minutes of the Knicks' 100-92 loss to New Jersey Nets.
Anthony missed the previous seven games with a groin injury. The All-Star forward was greeted by a huge ovation at Madison Square Garden during introductions, then scored the Knicks' second basket.
The coach revealed Shumpert has been playing through pain in his left knee but it became too great to bear after Sunday's game. He is officially listed as day to day.
"Rest will take care of something like that," D'Antoni said before the game.
Davis suited up for the first time this season on Sunday but did not play. He returned Monday after sitting out the first seven weeks with a back injury.
The Knicks signed the veteran point guard in late December hoping that he'd be able to return from a herniated disk ailment in 8-10 weeks.
Prior to the emergence of Jeremy Lin, Davis was slated to be the team's starter.
But Lin has unexpectedly led the team to seven wins in his first eight starts, relegating Davis to a backup role.
"Right now Jeremy is the starter and then Baron is going to get ready and get (in) game shape and we'll see," D'Antoni said. "Nothing's ever written in stone but Jeremy's playing pretty well."
Lin led the Knicks to a 6-1 record with Anthony out.
Many people have wondered how Anthony would fit into the Knicks' offense under Lin, who had become the talk of the NBA over the Knicks' past nine games.
Anthony traditionally thrives in isolation situations. So far under Lin, the Knicks' offense has been predicated on ball movement.
Anthony laughed off the notion that he'd have trouble fitting in with Lin when speaking to reporters last week.
"When I'm reading the stuff, it's more funny than anything because at the end of the day I know what I bring to the game, I know what I bring to this team," Anthony said before the game. "My teammates know that. But to say, 'How can I fit in?' It's easy; give him the ball and space out. I get back to doing what I know how to do best. So we'll see."
D'Antoni believes Lin can only help Anthony.
"He was pretty good without him so I imagine he'll be pretty good with him," the coach said on Monday. "Every player will benefit from a good point guard."
Anthony entered Monday averaging 22 points and six rebounds this season but was shooting 39 percent from the field.
Chandler entered the game averaging 11.8 points and 9.7 rebounds for the Knicks, who have improved markedly on defense thanks to the 7-foot center. The Knicks entered play on Monday ranked eighth in defensive efficiency, a measurement of points allowed per 100 possessions.
In other Knicks injury news, rookie forward Josh Harrellson (right wrist) is on pace to return early in the second half of the season. D'Antoni believes Harrellson will be back no later than March 4 against Boston.
Ian Begley is a regular contributor to ESPNNewYork.com. Information from The Associated Press was used in this report.