Slave no longer connects to your Jenkins master - slave-agent.jnlp: 403 Forbidden

Recently I messed up with Jenkins security configuration causing my slave machines to 
no longer connect to the master with the following exception logged:
Failing to obtain http://MY_JENKINS/computer/MY_SLAVE_NAME/slave-agent.jnlp
java.io.IOException: Failed to load http://MY_JENKINS/computer/MY_SLAVE_NAME/
slave-agent.jnlp: 403 Forbidden
 at hudson.remoting.Launcher.parseJnlpArguments(Launcher.java:275)
 at hudson.remoting.Launcher.run(Launcher.java:219)
 at hudson.remoting.Launcher.main(Launcher.java:192)
Waiting 10 seconds before retry

 

Check your security configuration settings in Manage Jenkins->Configure global 

security and verify that for Anonymous user you have allowed to connect to slave.