At present, no consensus has been reached on the generation mechanism of anisotropy in materials fabricated by laser powder bed fusion (LPBF), and most attention has been focused on crystallographic texture. In this paper, an analysis and test were carried out on the hardness, defect distribution, residual stress distribution, and microstructure of WE43 magnesium alloy fabricated by LPBF. The results indicate that LPBF WE43 exhibits obvious anisotropy—the hardness HV of X–Z surface (129.9 HV on average) and that of Y–Z surface (130.7 HV on average) are about 33.5% higher than that of X–Y surface (97.6 HV on average), and the endurable load is smaller in the stacking direction Z compared to the X and Y directions. The factors contributing more to the anisotropy are listed as follows in sequence. Firstly, the defect area of the X–Y projection surface is about 13.2% larger than that of the other two surfaces, so this surface shows greatly reduced mechanical properties due to the exponential relationship between the material strength and the number of defects. Secondly, for laser scanning in each layer/time, the residual stress accumulation in the Z direction is higher than that in the X and Y directions, which may directly reduce the mechanical properties of the material. Finally, more fine grains are distributed in X–Z and Y–Z surfaces when comparing them with those in an X–Y surface, and this fine-grain strengthening mechanism also contributes to the anisotropy. After T5 aging heat treatment (250 °C/16 h), a stronger crystallographic texture is formed in the <0001> direction, with the orientation density index increasing from 10.92 to 21.38, and the anisotropy disappearing. This is mainly caused by the enhancement effect of the texture in the <0001> direction on the mechanical properties in the Z direction cancelling out the weakening effect of the defects in the X–Y surface in the Z direction.