Layered cobalt oxides, AxCoO2 (A = Li, Na, Ca, and Sr), are attracting attention as thermoelectric materials showing large thermoelectric figure of merit ZT = S2σTκ−1 (S: thermopower, σ: electrical conductivity, T: absolute temperature, κ: thermal conductivity) at higher temperatures. Due to the layered structure, AxCoO2 shows strong anisotropy in the thermoelectric properties; both S and σ are large along the layer though systematic study in κ is not reported thus far. Here, the anisotropy in κ of AxCoO2 is shown systematically with the effect of Ax on κ. AxCoO2 epitaxial films are fabricated with two different crystallographic orientations with respect to the surface normal to the substrates and the κ is measured in normal to the substrate. The κ parallel to the layers (κ||) is 3–6 times larger than that perpendicular to the layers (κ⊥). The κ|| decreases with increasing the atomic mass of Ax though κ⊥ is insensitive to it; anisotropy of κ is controlled by substituting heavier Ax ions. The present result provides new material design concept for good thermoelectric materials.