This paper applies generalized finite difference method (GFDM) to a compressible two-phase flow in anisotropic porous media with the aim of further extending the wider application of this class of meshless methods. We develop an implicit Euler scheme in time and a GFDM discretization in space based on two treatments of the anisotropic permeability tensor in continuous function expression and discrete distribution. The effectiveness and generality of GFDM for two-phase flow problems in anisotropic porous media are verified by three examples with rectangular, irregular, and complex boundaries. Also, the computational performance of the method is verified according to the error calculation with L2 absolute error functions in different node collocation schemes. In addition, the sensitivity analysis of the radius of the influence domain to the transient pressure equation (parabolic equation) and the saturation equation (hyperbolic equation) is considered. It generally holds that the larger the radius of the influence domain, the lower the calculation accuracy in the case of Cartesian collocation. This may be a preliminary rule for the radius choice of the influence domain for GFDM. In sum, this work provides an efficient and accurate meshless solver to handle two-phase flow problems in anisotropic porous media under the GFDM framework, which reveals the great application potential of GFDM in reservoir numerical simulation.