Footage of the incident shows a young man watching Mr Anning from the sidelines before he starts filming with his mobile phone, and then smashes the egg on the back of the senator's head.
After the teen was hauled away, a supporter to the senator the "younger generation" was "taking up the fight".
The 17-year-old was later released pending further investigation, according to the network. "The incident is being actively investigated by Victoria Police "in its entirety" including the actions of the 69-year-old man and others".
The egging was in response to Fraser saying that Muslim immigration was to blame for the Thursday night shooting attack in Christchurch New Zealand in which 49 people were killed while attending religious services in mosques. In addition to his inflammatory statement on the attacks, Anning tweeted, "Does anyone still dispute the link between Muslim immigration and violence?" "Those views have no place in Australia, let alone the Australian Parliament".
Anning was also criticized for tweets he posted following the shooting. "And he issued it when people are grieving", he said, adding that "our prayers are with the victims and their families".
Mr Morrison today announced the Coalition and Labor would pass a motion censuring Senator Anning for the statement when Parliament returns next month.
Christchurch mosque attacks: Bangladesh Test cricket team escape mass shooting
New Zealand Police confirmed they had responded to shots fired in central Christchurch at around 13:40 local time (00:40 GMT). International Cricket Council chief executive David Richardson said it "fully supports the decision to cancel the test match".
The petition, addressed to Prime Minister Scott Morrison, Greens Senator Mehreen Faruqi and Liberal Senator Scott Ryan, calls for Senator Anning's forced resignation from parliament.
I stand with Egg Boy ✊ he did what the majority of Australia wanted to do.
Anning was strongly criticised by Australian politicians on Friday after making controversial comments about the New Zealand attacks on Twitter.
WATCH: This is the moment Senator Fraser Anning was egged by a teenage boy during a press conference in Melbourne.
He entered the legislature as a member of the far-right nationalist Pauline Hanson's One Nation party but switched parties to Katter's Australian Party (KAP) shortly after being sworn in.
The senator, Fraser Anning of Queensland, had been speaking to reporters Saturday in Melbourne at a right-wing rally.