In this work, cyclic free swelling/shrinkage tests were conducted on uniaxial compacted GMZ bentonite specimens with consideration of influences of initial dry density and suction. For conducting the cyclic swelling/shrinkage test, vapour equilibrium technique was employed for suction control and a laser displacement sensor was adopted to measure the specimen dimension. Results reveal that influence of initial dry density on water retention property depends on suction. For suctions lower than 14.2 MPa, specimen with higher initial dry density exhibits stronger water retention capacity, while for suctions higher than 38 MPa, initial dry density hardly influences water retention property. Unrecoverable swelling or shrinkage volumetric deformation is accumulated during the cyclic suction-variation processes and influenced by initial suction of the specimen. Meanwhile, GMZ bentonite specimen tested exhibits a significant anisotropy on volume change, which is more distinct for specimens with higher initial dry density, with swelling anisotropy stronger than shrinkage one. For specimen with high suctions (≥3.3 MPa), suction variation along a single wetting or drying path hardly influence this volumetric anisotropy. However, swelling anisotropy decreases with increasing suction cycles experienced and eventually equals to the shrinkage one after several suction cycles.