This paper investigates the permeability characteristics of compacted loess by focusing on the anisotropy parallel and perpendicular to the compaction. Three tests are conducted on compacted loess: triaxial permeability test under confining pressure consolidation, triaxial permeability test under K0 consolidation, and SEM test. Samples are maintained and tested at different dry densities under saturated conditions. The test results show that the saturated permeability coefficient of compacted loess is exponentially related to the initial dry density under both confining pressure consolidation and K0 consolidation. The fitting equation can estimate the saturated permeability coefficient of compacted loess at different depths. The horizontal saturated permeability coefficient of compacted loess is larger than that in the vertical direction, showing obvious anisotropy. The saturated permeability anisotropy ratio is linearly related to the initial dry density. Comparing and analysing the saturated permeability coefficient, the saturated permeability coefficient of compacted loess under the K0 consolidation condition is smaller than that under the confining pressure consolidation condition. Under the condition of K0 consolidation, the connectivity of vertical and horizontal pores of compacted loess is weakened, the tortuosity is strengthened, and the void ratio is decreased. K0 consolidation makes the flake-, plate-, and needle-like particles in compacted loess rotate continuously parallel to the compaction surface, which enhances the orientation of particles and leads to the saturated permeability anisotropy increase. The research results provide the basis for water field analysis in loess filling engineering.