In June 2002, Rhino Records released The Best of Anita Baker (known as Sweet Love: The Very Best of Anita Baker in the UK, with a slightly different track listing), a compilation of Baker's material from 1983–2002.
Two years later, in March 2004, Blue Note Records announced that they had signed Baker to an exclusive recording contract that would result in at least two albums. Bruce Lundvall, president and CEO of EMI Jazz & Classics, signed her after she approached him to record for Blue Note. At the same time Rhino Records released A Night of Rapture: Live, a compilation that contained nine live tracks and three multimedia videos recorded in the late 1980s.
In September 2004, a decade after her last studio album, Baker released a new album, entitled My Everything. Co-produced by Barry J. Eastmond and Baker herself, she wrote or co-wrote nine of this album's ten tracks, including a duet with Babyface, "Like You Used to Do". Though she had been out of the limelight for some considerable time, the album was a success and debuted at number four on the Billboard 200 and number one on the Top R&B/Hip-Hop Albums. The album was certified gold by the RIAA, denoting sales in excess of 500,000 units in the U.S.
In October 2005, Baker released her first Christmas album, Christmas Fantasy. Again produced by Baker and Eastmond, the album mixed traditional Christmas carols ("God Rest Ye Merry, Gentlemen"), standards ("I'll Be Home for Christmas"), re-imagined classics ("Frosty's Rag"), Broadway show tunes ("My Favorite Things"), and three new songs by Baker and Eastmond ("Moonlight Sleighride", "Family of Man", and "Christmas Fantasy"). She received a Grammy Award nomination in 2007 for Best Traditional R&B Vocal Performance for the song "Christmas Time Is Here".
In 2007, Baker appeared on Dave Koz's album At the Movies. She sang "Somewhere" from the broadway musical West Side Story.
Baker embarked on a concert tour in 2008, entitled An Evening with Anita Baker. Her performance at DTE Energy Music Theatre in Clarkston, Michigan, on July 12, 2008, was recorded and Baker has announced plans to release a new DVD and/or CD live album in early 2009.
On September 19, 2008 BusyBoy Productions filmed her entire An Evening with Anita Baker concert at Mystic Lake Casino Hotel in Prior Lake, Minnesota, for Baker's up-and-coming DVD and B-roll footage for promotional purposes.
Baker currently lives in Grosse Pointe, Michigan.