Shales are frequently encountered in oil and gas drilling operations that accompanied by severe borehole stability issues now and then. It is of primary importance to determine the accurate limits of safe borehole pressure window (SBPW) while drilling in anisotropic shale formations. To our knowledge, a convention is followed by nearly all the researches in the literature that the lower limit of SBPW is determined by collapse failure while the upper limit of SBPW is determined by fracture failure of rocks. Nevertheless, this paper aims to present a unique method through which the upper limit of SBPW is proved to be also affected by collapse failure of surrounding rocks. Based on transformations of different coordinate systems and the elastic anisotropic theory, the stresses around directional boreholes are first calculated. Then, shear failure criteria of rock matrix and weak planes as well as tensile failures are incorporated to analyze the two limits of SBPW. The influences of in-situ stress, relative orientations and anisotropy ratio are also investigated. The results show that the order change of principal stresses in rocks can result in change of shear failure modes on the borehole wall and this will lead to the appearance of a new upper limit of SBPW. Under many conditions, the SBPW determined by the new method can be greatly narrower than that defined by traditional methods, whether considering the failure of rock matrix or weak planes. The collapse area reappears when the borehole pressure is high enough and the failure extension direction may also change. A more uniformed in-situ stress state makes it more necessary to apply the new method to determine the SBPW. Besides, the elastic anisotropy characteristics of rocks can make the SBPW narrower.