And despite the 2-0 defeat, which left Scotland bottom of Group A and Belgium on the verge of a place at the World Cup finals, Anya took encouragement from his first taste of international football.
The 25-year-old, who was called up to the squad for the first time, told Press Association Sport: "It was amazing. From the moment I got there to the moment we were singing the national anthem I had goosebumps. It was a really good day bar the result.
"Belgium are a very good team. They are going to the World Cup and I'm with Watford in the Championship so it was a step-up, but I feel like I'm doing all right in training with the boys.
"There are a few Premiership and Championship players there and I think under the tutelage of the manager I can progress and improve furthermore."
Anya made an early impact when he got round the outside of the Belgian defence and whipped in a ball that Shaun Maloney diverted just over the bar.
"The gaffer has given me a lot of confidence, he wants us to run with the ball, he wants us to attack players and commit players and I think that's one of my attributes," he said. "I tried to do that when I got on the pitch.
"I'm equally happy both left and right. At Watford we play with wing-backs and I'm normally a wing-back. They expect you to get up and down because I'm a fit lad.
"Obviously here I need to learn to tuck in a bit more sometimes, which I'm sure the gaffer will have a word with me about, but I think I did all right."
Scotland now travel to Macedonia needing a better result on Tuesday night than their last visit to Skopje, where they lost 1-0 in 2009, to boost their chances of avoiding a bottom-placed finish.
The player Anya replaced, Norwich winger Robert Snodgrass, is suspended for the game after being booked early against Belgium for leading with his arm in an aerial challenge.
But Anya was not getting ahead of himself to anticipate Strachan handing him a start so soon in his Scotland career.
"I'm just grateful for my debut and I'm a patient man," the Glasgow-born player said. "If he decides that he wants more experience in Macedonia, being an away game, I'm more than happy to do what the manager wants.
"But if he chooses me I'll be more than happy and I'll give him my all again.
"Whenever the gaffer calls on me I'm more than happy to step up and try to do what I can on the pitch."
Despite the blow of dropping to bottom, the defeat has not derailed the cautious optimism among Scotland fans that Strachan can help the team improve.
Scotland had gone into the game with some hope after victory in Croatia and taking the lead twice at Wembley before losing to two poor set-piece goals against England.
But Strachan felt Belgium - who now sit 17 points above the Scots and five ahead of second-placed Croatia - were a step up from their previous two opponents.
Scotland were never over-run though and both goals came from individual errors. Steven Whittaker's heavy touch left himself exposed before Steven Defour netted in the 37th minute and centre-back Grant Hanley cancelled out an otherwise solid display when he sold himself badly to allow Kevin Mirallas to net a late second.
Victory in Macedonia, who beat Wales 2-1 at home on Friday night, would give Scotland the chance to finish a largely disappointing campaign on a high against Croatia next month and even secure third spot.
Anya said: "We can't qualify so our priority now is to get a good team together and be cohesive and try and have a real go at qualifying for 2016."
- Sports & Recreation
- Gordon Strachan