Anderson passed for 225 yards and a TD, and rushed for another 133 yards with two touchdowns. He scored the game-winner on a 15-yard run with 4:10 to play.
Alabama A&M (4-8, 3-6 SWAC) saw a chance to win sail wide left on Cesar Ramon-Diaz' 33-yard field goal attempt with 1:58 on the clock.
Jaymason Lee passed for 265 yards and a touchdown for the Bulldogs, but was intercepted three times by Arkansas-Pine Bluff (4-7, 3-6).
The Golden Lions fell behind 10-0 early, finally took the lead at 14-13 when Anderson hit Brian Handley with a 39-yard pass in the third quarter, but lost it again when Tevin McKenzie caught an 8-yard pass from Lee with 10:47 to play.