Let p ∈ (0, 1], q ∈ (0, ∞] and A be a general expansive matrix on R n . The authors introduce the anisotropic Hardy-Lorentz space H p,q A (R n ) associated with A via the non-tangential grand maximal function and then establish its various realvariable characterizations in terms of the atomic or the molecular decompositions, the radial or the non-tangential maximal functions, or the finite atomic decompositions. All these characterizations except the ∞-atomic characterization are new even for the classical isotropic Hardy-Lorentz spaces on R n . As applications, the authors firstA (R n ) and H p2,q2A (R n ) with 0 < p 1 < p < p 2 < ∞ and q 1 , q, q 2 ∈ (0, ∞], and also between H p,q1A (R n ) andA (R n ) with p ∈ (0, ∞) and 0 < q 1 < q < q 2 ≤ ∞ in the real method of interpolation. The authors then establish a criterion on the boundedness of sublinear operators from H p,q A (R n ) into a quasi-Banach space; moreover, the authors obtain the boundedness of δ-type Calderón-Zygmund operators from, 1] and q ∈ (0, ∞], as well as the boundedness of some Calderón-Zygmund operators from H p,q A (R n ) to L p,∞ (R n ), where b := | det A|, λ − := min{|λ| : λ ∈ σ(A)} and σ(A) denotes the set of all eigenvalues of A.