Hydraulic fracturing using freshwater as fracturing fluid is regularly employed in commercial shale gas or oil production. Many problems are brought by the fracturing fluid of water, such as water shortages, swelling of clay mineral, and the pollution of flow-back water. Replacement of water by supercritical CO2 (SCCO2) in the hydraulic fracturing treatment of shale reservoir has meaningful potential for the improvement of gas production. Hydraulic fracturing experiments, under different injection rate and stress state, were carried out for studying the SC-CO2 fracturing of shale considering anisotropy effects. Anisotropy of shale has a significant impact on the mechanical behavior and fracture propagation of shale in the experiment. There shows a downward tendency for breakdown pressure with the increase of bedding plane angle in general. Higher injection rate can lead to the higher breakdown pressure, while higher deviator stress can lead to the lower breakdown pressure instead. In addition, three patterns of fracture propagation can be observed in the experiment, relative to the bedding structures of shale specimen, including propagating along, propagating across and arresting. The maximum values of fracture width during experiment in shale with different bedding plane angle ranges from 0.29 mm to 1.05 mm, while the final fracture width after the fracturing experiment is kept within the range of 0.01 mm–0.04 mm under the injection rate of 0.3 ml/s.