Elastic wave velocity measurements in the laboratory are used to assess the evolution of the microstructure of shales under triaxial stresses, which are representative of in situ conditions. Microstructural parameters such as crack aperture are of primary importance when permeability is a concern. The purpose of these experiments is to understand the micromechanical behavior of the Callovo-Oxfordian shale in response to external perturbations. The available experimental setup allows for the continuous, simultaneous measurement of five independent elastic wave velocities and two directions of strain (axial and circumferential), performed on the same cylindrical rock sample during deformation in an axisymmetric triaxial cell. The main results are (1) identification of the complete tensor of elastic moduli of the transversely isotropic shales using elastic wave velocity measurements, (2) assessment of the evolution of these moduli under triaxial loading, and (3) assessment of the evolution of the elastic anisotropy under loading in terms of Thomsen's parameters. This last outcome allows us to use the anisotropy of the elastic properties of this rock as an indicator of the evolution of its microstructure. In particular, ε in the dry case decreases from 0.5 (ambient pressure) toward 0.37 , while γ and δ are almost insensitive to pressure. In the wet case, ε decreases from 0.3 (ambient pressure) toward 0.2 . Deviatoric stresses have a strong effect on ε, γ, and δ variations. In this case, ε drops (both for the dry and wet conditions) when failure is approached.