Anthony, 46, and wife Miki, 39, also reveal how they stay strong as a family against the rigours of his constant touring, long periods of separation and their battle to keep Anthony's depression in check.
You've been married six years, have three kids and seem the perfect family. How do you stay solid?
Anthony: It's hard with The Wiggles touring so much - we're away eight months of the year. It's definitely a big challenge but we talk to each other a lot.
Miki: We probably communicate more when Anthony's away because we dedicate the time.
How tough is that on your marriage and on your kids Lucia [five], Maria [three] and Antonio [two]?
Anthony: It's been very tough because I miss out on Father's Day, Mother's Day, all the birthdays - anything important in the family, I'm usually on the road doing shows. Miki is changing nappies and I'm in London. It's not a great way to spend your married life.
Miki, how do you cope with that?
Miki: It does get lonely. It's very difficult sometimes. After the three-week mark I start to feel it a lot more. A usual tour lasts six weeks.
Anthony: We've come to realise we're spending too much time away so we're going to try touring with the family. It's really hard in America because we do a lot of 14, 16 or eight-hour trips. Putting a child on a bus for that length of time is not easy. We're going to be a bit more like a circus family.
Do you schedule date nights?
Anthony: When I'm home, we're together - I don't go anywhere without Miki. It's funny, going out to a restaurant is the last thing I want to do. I want to spend time with Miki and the children. I want to bathe or put them to bed - all those things parents probably want to get away from now and then. Just sharing the touring with Miki and the kids - even if it's only two or three weeks - it's going to be fantastic.
Would you consider hanging up the blue skivvy?
Anthony: Yes, I probably would. Miki: I wouldn't ask him to do that but one of the kids might.
Anthony: Two of my children said to me the other day, 'We don't like The Wiggles because they take you away.' I said, 'Well, that's OK not to like them.' That was a bit of a bell for me to really try to sort something out.
Does success come at the price of missing your children's milestones?
Anthony: It's ironic - we're out entertaining kids and it comes at the expense of our own. You don't know that you're missing until months later when you've missed things like the first tooth fairy coming. I missed all the kids taking their first steps.
You've said being on the road is dangerous if you have depression. How do you deal with it?
Anthony: You face the same hotel room, the same lonely existence. You can hear the kids but you can't touch or hug them. Sometimes we can go a week where we don't see the sun. You can really go down a hole and I've been very lonely and depressed. But Miki always gets me to go outside and get some sun. It's also why I started exercising and I gave up drinking on the road. I haven't touched a drink for over a year now. I didn't have an alcohol problem but it doesn't help with the road.
How has Miki helped you cope with depression?
Anthony: I have to help her sometimes as she gets a little down in the dumps too, which is understandable. Miki talks to me and tells me she's there for me, no matter what. There's always a way to feel better and she tries to find it for me. She hears it in my voice.
Do The Wiggles have problems with groupies?
Anthony: I don't know - my brother Paul, our manager, gets all our mail. Anything of an inappropriate nature is replied to and they're told that it won't get through to us, which tends to cut the problem off.
What are some of the more outrageous things a mum has done to get your attention?
Anthony: Miki knows this - I had a lady sending me a piece of a puzzle, once a week, which was parts of her body that would turn into a nude photo of herself. But Paul told her to stop. Another woman came to our hotel and stayed in the lobby for a whole weekend. I had to go in and out of the hotel another way. That was a bit scary.
Would you like more children?Anthony: I think I need to get to know Miki a lot more, because I've been away so much. So I'm going to wait. I think we need some time.