The relaxation dynamics of thermal capillary waves for nanoscale liquid films on anisotropic-slip substrates are investigated, using both molecular dynamics (MD) simulations and a Langevin model. The anisotropy of slip on substrates is achieved using a specific lattice plane of a face-centred cubic lattice. This surface's anisotropy breaks the simple scalar proportionality between slip velocity and wall shear stress and requires the introduction of a slip-coefficient tensor. The Langevin equation can describe both the growth of capillary wave spectra and the relaxation of capillary wave correlations, with the former providing a time scale for the surface to reach thermal equilibrium.Temporal correlations of interfacial Fourier modes, measured at thermal equilibrium in MD, demonstrate that (i) larger slip lengths lead to a faster decay in wave correlations, and (ii) unlike on isotropic-slip substrates, the time correlations of waves on anisotropicslip substrates are wave-direction dependent. These findings emerge naturally from the proposed Langevin equation, which becomes wave-direction dependent, agrees well with MD results, and allows to produce experimentally-verifiable predictions.