Connect to sql server via transitional computer issue, login failed for NT AUTHORITY\ANONYMOUS LOGON

Question

I have SQL Server 2008 to which I can connect using domain user credentials. There are many computers in the network and if I login under that domain user I can successfully connect to SQL Server (using Windows Authentication).

The problem is when I use PowerShell remoting and establish remote session from computer A to computer B. When I run our dbtool that tries to connect to SqlServer (in remote session) "login failed for NT AUTHORITY\ANONYMOUS LOGON" error occurs.

It's strange, because I establish remote session under same domain user. Why ANONYMOUS is being passesd to SqlServer?

Thanks for help