This study is to investigate the mechanical anisotropy of shale reservoirs at different depths. Uniaxial compression experiments were conducted on Longmaxi formation shale to explore horizontal and vertical variation laws of mechanical parameters. Meanwhile, anisotropy indexes of mechanical parameters of shale reservoir were comprehensively analyzed. It is found that mineral content, development of natural fractures, the denseness of bedding slit in shale reservoirs all exhibited mechanical anisotropies at a certain degree. With deepening the sampling depth, the elastic modulus decreased. Meanwhile, the Poisson’s ratio had a seesaw high-middle low phenomenon, whereas the compressive strength opposite. In addition, horizontal and vertical anisotropy indexes of the compressive strength were much higher than those of the elastic modulus and Poisson's ratio under the same environmental condition. Moreover, the anisotropy index of the compressive strength varied in a larger scope. Horizontal and vertical mechanical anisotropy indexes reflect the spatial distribution of mechanical properties to some extent. Therefore, the mechanical anisotropy should be investigated at different depths and in different directions in advance when constructing the deep rock engineering. The constitutive relation of rock mass also should be properly chosen to optimize the construction. ,