Stress dependency and anisotropy of dynamic elastic properties of shales is important for a number of geophysical applications, including seismic interpretation, fluid identification, and 4D seismic monitoring. Using Sayers-Kachanov formalism, we developed a new model for transversely isotropic (TI) media that describes stress sensitivity behavior of all five elastic coefficients using four physically meaningful parameters. The model is used to parameterize elastic properties of about 20 shales obtained from laboratory measurements and the literature. The four fitting parameters, namely, specific tangential compliance of a single crack, ratio of normal to tangential compliances, characteristic pressure, and crack orientation anisotropy parameter, show moderate to good correlations with the depth from which the shale was extracted. With increasing depth, the tangential compliance exponentially decreases. The crack orientation anisotropy parameter broadly increases with depth for most of the shales, indicating that cracks are getting more aligned in the bedding plane. The ratio of normal to shear compliance and characteristic pressure decreases with depth to 2500 m and then increases below this to 3600 m. The suggested model allows us to evaluate the stress dependency of all five elastic compliances of a TI medium, even if only some of them are known. This may allow the reconstruction of the stress dependency of all five elastic compliances of a shale from log data, for example.