Content Delivery Networks (CDN) act as trusted overlay networks that offer high-performance delivery of common Web objects, static data and rich multimedia content by distributing content load among edge servers which are close to the clients. And the interconnection of different CDNs (called CDNi) could provide more advantages and benefits to both content provider and client than a single CDN during the content delivery. However, the interconnection can also bring some security issues which are not existed in single CDN. For example, the users' privacy could be revealed to other CDNs. Thus, to focus on this issue, in this paper, we propose an anonymous IP-based privacy protection mechanism which can protect the users' privacy from leaking to all the CDNs, and the requested content can also be accurately transmitted to the end user through the closest edge server by using the anonymous IP address.