This is their fourth marriage for Anthony.
Keough also added that she "hope[s] I could love my daughter the way you loved me.”
The former Lip Sync Battle co-host and cookbook author shared intimate hospital photos with her late son Jack at the time.
The actress walked the red carpet on Friday at the American Film Institute Awards luncheon to promote the new film.
Lisa Marie Presley was found unresponsive by her housekeeper Thursday morning.
Benjamin Keough died of suicide in July 2020 at the age of 27.