Two-dimensional (2D) materials, such as transition metal dichalcogenides (TMDs), black phosphorus (BP), MXene and borophene, have aroused extensive attention since the discovery of graphene in 2004. They have wide range of applications in many research fields, such as optoelectronic devices, energy storage, catalysis, owing to their striking physical and chemical properties. Among them, anisotropic 2D material is one kind of 2D materials that possess different properties along different directions caused by the intrinsic anisotropic atoms’ arrangement of the 2D materials, mainly including BP, borophene, low-symmetry TMDs (ReSe2 and ReS2) and group IV monochalcogenides (SnS, SnSe, GeS, and GeSe). Recently, a series of new devices has been fabricated based on these anisotropic 2D materials. In this review, we start from a brief introduction of the classifications, crystal structures, preparation techniques, stability, as well as the strategy to discriminate the anisotropic characteristics of 2D materials. Then, the recent advanced applications including electronic devices, optoelectronic devices, thermoelectric devices and nanomechanical devices based on the anisotropic 2D materials both in experiment and theory have been summarized. Finally, the current challenges and prospects in device designs, integration, mechanical analysis, and micro-/nano-fabrication techniques related to anisotropic 2D materials have been discussed. This review is aimed to give a generalized knowledge of anisotropic 2D materials and their current devices applications, and thus inspiring the exploration and development of other kinds of new anisotropic 2D materials and various novel device applications.