Whether you choose to quote or paraphrase sources you use in your research paper, you must cite each one. For rules and examples of Turabian citation style, look here:
Sometimes students will use online citation formatters provided free on the Web or within a library database. If you use one of these online formatters, remember that they are not foolproof. You will need to review your citations to make sure they are correct.
In the context of history, an anthology is any collection of primary sources.
When these collections are published, they are not always called out right anthologies. Sometimes they are called "selected readings", "compliation", "readers", "source collection", or other things. If there are certain types of primary sources that you are interested in, try adding the particular source to your search.
For example:
World War And Letters
Great Depression AND diaries