The egging was in response to Anning saying that Muslims were not "blameless" in the recent Christchurch mosque attacks, which left 50 people dead and at least 70 others wounded.
After the egging, Connolly was arrested and later released without charge.
"Egg Boy" has received much praise from the public. A fund was set up to help him pay his legal costs, although he said he would donate this money to the victims of the attack.
On the streets of Melbourne, a painting of the incident has been erected in his honour.
On social media Connolly has been called a hero, with many applauding his actions.