We present a spatial filtering (or coarse-graining) analysis on 3D magnetized magnetohydrodynamic (MHD) turbulence simulations. The filtered compressible MHD formulae show transfer of kinetic and magnetic energies from large to small scales, as well as energy conversion between kinetic, magnetic, and thermal energies. The anisotropic filtering enables separate analyses of the energy flows perpendicular and parallel to the global mean magnetic field. Anisotropy in energy cascade is demonstrated by the larger perpendicular energy cascade rate and also the larger perpendicular wavenumbers associated with the peak energy transfer rate. We also find that the “inertial range” along the parallel (perpendicular) direction in the anisotropic energy cascade formulation is no longer strictly dissipation-free, because it includes the dissipation in the perpendicular (parallel) direction. A change in the driving force (kinetic only versus kinetic and magnetic) affects the energy conversion between kinetic and magnetic energies. While the compressibility of the driving force changes the partition of different channels of energy transfer and conversion, and also increases the total energy transfer rate, the global energy flow remains unaffected by compressibility qualitatively. Our analysis can be applied to multispacecraft observations of turbulence in the solar wind or a planetary magnetosphere.