My Name Is Anthony Gonsalves starts with a gangster and killer, Sikander, murdering someone with his gang; they bury him and flee. Then the story line drops to a young man, Anthony Gonsalves who accepts Sikander for his father and guru, since Sikander takes Anthony in when he was a young child living on the streets. He doesn't adopt him, though, since he says that his real father is the town priest.
Anthony's big dream is to become a famous and wealthy actor and be as kind as Sikander—he doesn't know that Sikander is a murderer. Sikander never told him because he wanted Anthony to be a kind and nice gentleman, unlike himself. Anthony has big dreams, like living with high society peoples and meeting his idols.
One day when Anthony is practicing film dialogues with a couple of street gangsters, he meets Riya, a woman who has no family, is an orphan, who lives a middle-class lifestyle in Mumbai and works as an assistant director for a movie producer, Bharucha. Anthony introduces himself as the son of Jeffrey, who died in 1986, and works as a waiter in Jimmy's Pub, Bandra. She meets him again in the studios when he comes to audition for the part of Mark Anthony in a re-make of Shakespeare's Julius Caesar. Both are attracted to each other and continue to meet. Little does Riya know that Anthony has lied to her, as he never had a father by the name of Jeffrey. When he gets the role of Mark Anthony, he goes to tell Sikander and he sees him murdering a person. Anthony now knows the true side of Sikander.
Anthony doesn't tell them, but somehow, police inspector Khan finds out and goes to alert for Sikander, for which he needs the help of Anthony. He gets Anthony on his side, but Anthony is a man of his word and blames all the murders on Sikander's boss. To make it look real, Anthony does fake stunts, like blowing Murtaza's factory up and acting dead. In the climax, Anthony, Sikander, and the priest who raised Anthony, get together to kill Sikander's boss; that's when the police enter. Sikander gets arrested. Anthony marries Riya and becomes a big hero, a superstar, and his dreams come true.
