The elastic anisotropy of coal formations is important for the prediction of unconventional coalbed methane reservoir performance and hydraulic fracturing. Although essential for a number of geophysical applications, the elastic anisotropy of coals is still poorly understood. Therefore, three sets of cylindrical coal samples are drilled parallel and perpendicular to the bedding plane, and the ultrasonic velocities under different confining pressures are measured in the laboratory. We combine experimental observations and modeling analysis to evaluate the elastic anisotropy of the coals. The results suggest that the velocity of coals parallel to the bedding plane is less sensitive to the confining pressure than that perpendicular to the bedding plane. The fracture densities of coals parallel to the bedding plane are much lower than those perpendicular to the bedding plane, and most of the fractures are closed when the pressure is higher than 15 MPa. The organic matter and clay content and their preferred orientation play dominant roles in the velocity anisotropy, and the fracture effect can significantly enhance it. Velocity anisotropy parameters of coals are positively correlated with the organic matter and clay content, and the preferred orientation of organic matter and clay plays a significant role in coal anisotropy. The results in this study are helpful in the characterization of fractures of coals and can provide an important rock physics basis for microseismic fracture monitoring and reservoir prediction.