Hopes of booking a place at next summer's finals in Brazil may have been over for some time but Gordon Strachan's men can take plenty of positives from recent outings.
Tuesday night's 2-0 win over Croatia saw the Scots claim three victories from their final four qualifiers, with the defeat coming against eventual Group A winners Belgium.
Scotland's run of form was sparked by an unexpected triumph over the Croats in Zagreb in June and Anya expects other teams to sit up and take notice of their impressive results.
He said: "Now that we have done the double over Croatia, I think more teams will be more wary of us and do their homework.
"If you look at the last four results, we got nine points out of 12. That's leadership form.
"Unfortunately, it came at this time but we can play our friendlies and hopefully start well for 2016."
Scotland's absence from major finals stretches back to 1998 but Anya says confidence will now be high ahead of the next campaign.
The Watford winger said: "We are always confident, that's what the manager has instilled in us.
"The fans and everybody else are seeing that on the pitch.
"Even if we had lost, we would have taken pride from that performance. Luckily, we managed to get the two goals and got the win."
Goals from Robert Snodgrass and Steven Naismith allowed Scotland to bring down the curtain on the World Cup qualifiers with their first competitive home win in more than two years.
Anya said: "A lot was said before the game about maybe being the first Scotland team not to get a home win during the campaign but I think we proved a lot.
"They are a good team and you would expect them to have the ball a bit but we did well. We took our chances when they came and it was a good win."