In 2004, he was appointed manager of Scottish side Raith Rovers. However, he resigned as manager in September 2004 after managing just one draw and seven defeats from eight games. After resigning as manager, he became Director of Football, but resigned from that position in October 2004.
Anelka, after leaving Raith, worked as a coach at FC Trappes, where both his brother and Patrick Vieira began their careers.
On 8 December 2009, Anelka was announced as the first Head Coach of NASL expansion side AC St. Louis. Anelka was fired from the position on 25 June 2010.