We report the detailed study of the magnetocaloric effect (MCE) in a dipolar-Heisenberg magnet LiGdF4 using magnetization measurements performed on a single crystal sample. Entropy variation on isothermal demagnetization from the magnetic field up to 3 T is determined in the temperature range 2–10 K for two principal directions of the applied field (parallel and perpendicular to the tetragonal c-axis of the crystal). The MCE is found to be highly anisotropic, with the cooling efficiency being up to twice higher at H∥c. The results are nicely interpreted in the frame of a conventional molecular field approach taking into account considerable anisotropy of the paramagnetic Curie–Weiss temperature. These results are compared to earlier studies of MCE in powder samples of LiGdF4 (Numazawa et al., 2006) as well as with analogous data for other well known magnetocaloric materials. Our findings may open new possibilities to enhance the efficiency of magnetic refrigeration in the liquid helium-4 temperature range.