This paper presents the result of five pressuremeter tests conducted in deep three clay shale formations at a thermal operation site. Pressuremeter loading was imposed parallel to the bedding plane under an approximately undrained condition. Test data are analyzed using the axisymmetric cavity expansion theory. In parallel with triaxial test results, the analyses reveal several constitutive characteristics of the Westgate clay shale, in particular, the limited nonlinearity and the stress−strain-path dependency of shear modulus. A procedure is proposed to correct the data including multi-azimuth radial displacement measurements in the caliper plane and the anisotropic response of the borehole is studied. Two aspects of azimuthal anisotropy are assessed — (i) in-plane anisotropy of borehole stiffness and (ii) the anisotropy in expansion after borehole plastic yielding. The latter provides the implication of anisotropic in situ horizontal stresses, demonstrated by both experimental and numerical evidence. The influence of the radial and azimuthal variations of the elastic stiffness around borehole on the interpreted orientation of in situ horizontal stresses is discussed. An agreement is shown between the interpreted azimuth of major or minor in situ horizontal stress and the reported crustal stress orientation for the test least affected by such stiffness variation.