Shale is composed of a rock matrix and bedding planes with a layered structure, resulting in significant anisotropy in its mechanical properties. In order to study the anisotropic mechanical properties of shale, the shale samples were prepared in different orientations with respect to the bedding planes, and the composition and microstructure of shale were first analyzed by X-ray diffractometer (XRD) and scanning electron microscope (SEM), and then the uniaxial and triaxial compression experiment on shale samples with five different bedding angles (the angle between the loading direction and the normal direction of the bedding planes, 0°, 30°, 45°, 60°, and 90°) were conducted under five confining pressures (0, 10, 20, 30, and 40 MPa), respectively; meanwhile, the acoustic emission (AE) test was carried out in the uniaxial test. The results indicate that the mechanical properties and parameters of shale have obvious anisotropy, and the AE characteristics of shale samples with different bedding angles are significantly different during uniaxial loading. Furthermore, the compressive strength and elastic modulus of the shale samples first decrease and then increase with the increase in the bedding angle under different confining pressures. Moreover, according to the anisotropic grade of compressive strength, the shale has moderate anisotropy. In addition, the failure mode of the shale samples is also anisotropic, and varies with the bedding angle and confining pressure.