Dolberg kicked off his goal spree after half an hour, when poor defending from the visitors allowed him the chance to take a shot from the edge of the box and he made no mistake with a lovely finish.
The Danish striker then doubled the lead after 37 minutes when Edozie lijkt was bundled over by Gent's Tsuyoshi Watanabe in the box and Dolberg duly converted the penalty.
The Danish show then continued three minutes from the interval, when Thorgan Hazard's superb corner kick found the head of Lucas Hey whose accurate effort went straight into the left hand bottom corner.
Nine minutes after the break Dolberg then continued his empahtic goalshow, when he fired home from very close range after getting on the end of a pass from Moussa N'Diaye.
Five minutes later Dolberg then capped off an amazing night, when he latched on to a superb cross from Hazard powering a header into the top right hand corner, leaving Tom Vandenberghe beaten.
Dolberg was then substitued after 63 minutes for Luis Vazquez and the Danish international left the field to standing ovations from the joyful Anderlecht crowd.
Dolberg also scored a hat-trick against Gent earlier in the season.