Maximum operating power densities in ceramic laser media scale with thermal conductivity k. This requires larger grain sizes in polycrystalline ceramics to reduce phonon scattering at grain boundaries. However, smaller grain sizes are preferred to minimize light scattering in the Rayleigh regime in polycrystals made from birefringent materials such as AlN and Al2O3, which are otherwise appealing for their high k. An optimization challenge arises from the opposite scaling laws governing the effects of grain sizes on k and light transmission. Here, this is tackled by introducing anisotropically microstructured materials (columnar/disk‐shaped grains) as the lasing media, and allowing orthogonal heat transfer and lasing directions. For columnar grains, larger grain sizes along the c‐axis help maintain high k for good heat dissipation, while preserving light transmission properties in the orthogonal lasing and pumping directions. Analytical models for the thermal conductivity in such structures are presented and verified using Monte‐Carlo ray‐tracing simulations. Similarly, an approximate Rayleigh–Gans–Debye model is used to predict light transmission and verified with exact simulations using FEM software. Finally, the tradeoff between thermal and optical phenomena is captured in a new anisotropic figure‐of‐merit tensor, which is optimized for the microstructure that maximizes lasing media performance in AlN and Al2O3 model systems.