You need to file an opposition to the anti-SLAPP motion. (prepare to move forward on the merits).
A default rarely is going to be upheld if the defendant is appearing within a short time after the entry of default (in most cases a court will be setting aside a default under the very broad umbrella of "excusable neglect" for up to 6 months after the entry of a default judgment (not just the entry of default).
So while you can argue that the entry of default should be dealt with first (the defendant should file a motion to set aside the default prior to filing their responsive pleading (the anti-SLAPP motion), it probably isn't worth your time (they would probably get the default set aside anyway).
However, it can also be a worthwhile strategy for another reason - if for some reason they win the anti-SLAPP, they get their attorney's fees, if you keep the fees low by simply addressing the anti-SLAPP rather than trying to make a big deal over the entry of default (which as I noted is not likely to stick), you will be reducing your risk of loss if you end up having to pay their attorney bill for the motion.
(Of course this is just a strategy consideration, you are free to file a motion with the court arguing that the anti-SLAPP should not be considered, the default was entered, and the court should not recognize the party).