AbstractSeismic anisotropy in the Earth's lower mantle likely results from a combination of elastic anisotropy and lattice preferred orientations of its main constituent minerals. As the second most abundant component of the lower mantle, ferropericlase has been widely studied, and the experimental results demonstrated, in general, a growing with pressure elastic anisotropy up to 1 Mbar. However, the unique measurements on the endmember (MgO) at comparable pressure conditions contradict the above observations and theoretical results. Here, time‐domain Brillouin scattering was applied to measure longitudinal sound velocities in single crystals of MgO compressed in diamond anvil cell. Velocities along two specific crystallographic directions, [100] and [111], were independently collected to 43 GPa. Applying the known bulk modulus, a complete set of single‐crystal elastic moduli, elastic anisotropy and aggregate shear modulus were derived. Our results revealed a steadily increasing with pressure elastic anisotropy at P > 20 GPa, consistent with the previous theoretical predictions and measurements on ferropericlase with moderate amounts of iron.