Carbon fiber-reinforced polymer (CFRP) composites have excellent mechanical properties and electromagnetic interference (EMI) shielding performance. Recently, their EMI shielding performance has also attracted great attention in many industrial fields to resolve electromagnetic pollution. The present paper mainly investigated the EMI shielding anisotropy of CFRP materials using a specified set-up of free-space measurement. The electrical conductivity of unidirectional CFRP composites was identified to vary with the fiber orientation angles, and the formula was proposed to predict the results consistent with the experimental. The obvious EMI shielding anisotropy of unidirectional CFRP composites was clarified by free-space measurement. The theoretical formula can predict the EMI shielding value at different carbon fiber orientation angles, and the predicted results were highly consistent with the experimental results. A comparison of the free-space measurement and the coaxial transmission line method was also conducted, which indicated that special attention should be paid to the influence of the anisotropy of CFRP composites on the shielding results. With those results, the mechanism of EMI shielding anisotropy of CFRP composites is clarified, which will provide an effective design of EMI shielding products with a designable shielding direction and frequency.