The power of sharing computation in a cryptosystem is crucial in several real-life applications of cryptography. Cryptographic primitives and tasks to which threshold cryptosystems have been applied include variants of digital signature, identification, public-key encryption and block ciphers etc. It is desirable to extend the domain of cryptographic primitives which threshold cryptography can be applied to. This paper studies threshold message authentication codes (threshold MACs). Threshold cryptosystems usually use algebraically homomorphic properties of the underlying cryptographic primitives. A typical approach to construct a threshold cryptographic scheme is to combine a (linear) secret sharing scheme with an algebraically homomorphic cryptographic primitive. The lack of algebraic properties of MACs rules out such an approach to share MACs. In this paper, we propose a method of obtaining a threshold MAC using a combinatorial approach. Our method is generic in the sense that it is applicable to any secure conventional MAC by making use of certain combinatorial objects, such as cover-free families and their variants. We discuss the issues of anonymity in threshold cryptography, a subject that has not been addressed previously in the literature in the field, and we show that there are trade-offis between the anonymity and efficiency of threshold MACs.