Coal-bed methane (CBM), shale gas, and tight sandstone gas are abundant in coal measure formations. In order to achieve the joint exploitation of the gas through multilayers, the penetrating fracturing, achieving crack propagation across different layer interfaces, was used to increase the overall permeability of coal measure formations. The true triaxial tests were conducted to investigate the crack propagation through the natural coal−rock combination with using supercritical CO 2 (ScCO 2 ) and hydraulic fracturing. The morphological characteristics of crack propagation within the coal after fracturing were analyzed. Meanwhile, the fracturing-induced anisotropic permeability within the natural coal−rock combination was explored. The main results showed that (1) compared with hydraulic fracturing, ScCO 2 fracturing is beneficial to the cracks crossing the interface into coal and forming a complex fracture network. (2) After hydraulic fracturing, the permeability parallel to and perpendicular to the bedding plane are 22.5 and 21.9 times higher than that before fracturing, respectively. Compared to hydraulic fracturing, the ScCO 2 fracturing induced a larger increase, 40.3 and 39.6 times, respectively. (3) The anisotropic ratio of the permeability parallel to and perpendicular to the bedding plane is 2.01, and after ScCO 2 and hydraulic fracturing, it becomes 2.05 and 2.15, respectively. In addition, both sides of the main crack (along the bedding plane) showed an evident increase in the permeability. The results indicate that ScCO 2 fracturing brings a larger permeability enhancement of the natural rock−rock combination compared to that of hydraulic fracturing.