Coal pillar dams are an important component of the water storage bodies of underground reservoirs. Influenced by the overlying rock pressure and water seepage, the stability of the coal pillar dam is one of the key factors affecting the stability of underground reservoirs. In this paper, an anisotropic seepage mechanical model of a coal pillar dam under plane strain was established to study the seepage stress coupling mechanism of underground reservoir No. 4 in the Daliuta Coal Mine using the COMSOL Multiphysics code. The stress field and seepage field of the coal pillar dam body were analyzed, and the influence of the principal direction of the mechanical properties of the coal pillar on the stress field, seepage field, and damaged areas of the coal pillar and goaf were discussed. According to the results, the anisotropy of the coal pillar dam body is one of the most significant factors when the principal direction of mechanical properties is θ = 45° or θ = 135°. The coal pillar damage area reaches a maximum value accounting for nearly 50%. The shear stress of the coal pillar reaches 4.69 MPa, which attains the maximum value when the principal direction angle is 90°. With increasing depth, the damaged area of the coal pillar gradually expands in the scenario of θ = 0°. When the depth increases to 160 m, the coal pillar undergoes penetration failure. In conclusion, the principal direction is the main factor affecting the stress field, seepage field displacement field, and energy evolution of the model. The anisotropy model of the equivalent continuum can account for the influence of the coal pillar structure surface, which could provide an analytical model for the stability of rock engineering.