Udinese rescues late draw over Aznhi
After the Italians, eliminated from the Champions League playoffs by Braga on penalties, had missed several good chances, the Russians snatched the lead on the stroke of half-time through Lacina Traore.
Anzhi had a couple of opportunities to put the tie beyond the hosts, but both Christopher Samba and then Samuel Eto'o could not find a way past Udinese keeper Daniele Padelli, who had looked at fault for the goal.
That stop proved crucial as just when time seemed to be running out, a shot from Giampiero Pinzi was parried and Di Natale swept home the rebound.
Udinese, unbeaten in their last six European home games, started brightly.
On 15 minutes, defender Mehdi Benatia headed over after a free-kick into the Anzhi penalty area. The Italians spurned a great chance to take the lead seven minutes before half-time when Davide Faraoni fired wide.
Anzhi were forced to defend again following a succession of corners when Evgeny Pomazan saved from Andrea Lazzari, the on-loan Fiorentina midfielder, before Faraoni crashed the ball over the bar.
Out of nothing, the visitors went ahead on the stroke of half-time. Ivory Coast winger Traore charged down the left channel and fired in an angled drive which squeezed past Padelli.
Udinese regrouped during the interval and threatened again at the start of the second half when Math Ranegie drilled wide.
The hosts were denied once more on 52 minutes following a brilliant reaction save from Pomazan, who tipped Ranegie's close-range effort behind.
Udinese made a change on the hour when Ghanian Emmanuel Agyemang-Badu was replaced by Italy international Di Natale.
The hosts' poor fortune continued, though, as Faraoni sent Pablo Armero's cross over the bar.
Anzhi, though, also had their chances as the match opened up.Former Blackburn defender Samba nodded over from a free-kick onto the Udinese penalty area, before captain Eto'o headed straight at Padelli.
Former Inter Milan striker Eto'o had another chance when he created space at the edge of the penalty area for a curling shot which was tipped behind by Padelli at full stretch.
At the other end, Pomazan then somehow denied Dusan Basta as the substitute looked to bundle the ball in at the far post after Armero's cross through the six-yard box.
Udinese, though, finally made the breakthrough in stoppage-time when a throw-in from the left was not dealt with, which allowed Pinzi the space for a shot and Di Natale reacted quickest to stab the loose ball home.