It is very important to know whether the thermal conductivity of carbon fibers in the directions of fiber axis (axial thermal conductivity, κa) and fiber radius (radial thermal conductivity, κr) are anisotropic. Relevant measurement is strongly hindered by microsize of carbon fibers in the radial direction. In this work, a novel method by combining frequency domain energy transport state-resolved Raman and transient electrothermal techniques is developed to overcome this drawback to achieve thermal conductivity anisotropy study of lignin-based microscale carbon fibers. Four fibers are characterized and the difference of κa among them is very small, and κa is around 1.8 W m−1 K−1 while the difference of κr is very large. The κr varies from 0.11 to 8.0 W m−1 K−1, revealing strong structure anisotropy and radial structure variation. The thermal conductivity variation against temperature also shows very different behavior. κa features a reduction of more than one order of magnitude from room temperature to 10.4 K while κr shows very little change from room temperature to 77 K. For the same carbon fiber, there is also a large difference of κr at different axial positions. Detailed Raman study of the axial and radial structures uncovers very strong structure anisotropy and explains the observed anisotropic thermal conductivities.