Clay minerals are the most abundant materials in shale. Their presence significantly influences the elastic behavior of reservoir rocks as a function of mineral type, volume, and distribution, and their orientation controls the shale’s intrinsic anisotropic behaviors. Thus, knowing the elastic properties of shale with different types of clay minerals is imperative for fully understanding the seismic properties of the reservoir. However, it is extremely difficult to measure the elastic properties of natural shale by means of a single variable (in this case, the type of clay), due to the influences of multiple factors, including water, total organic carbon content, complex mineral composition, and so on. Thus, we use quartz, clay (kaolinite, illite, and smectite), carbonate, and kerogen extract as the primary materials to construct synthetic shale with different types of clay. Ultrasonic experiments were conducted to study the anisotropy of velocity and mechanical properties (Young’s modulus and Poisson’s ratio) in dry synthetic shale samples as a function of applied axial stress. The results show that the velocity of samples increases with applied pressure and the rate of velocity increase is higher at low pressures. Similarly, the dynamic Young’s modulus and Poisson’s ratio increase with applied pressure; is always larger than , but may be larger or smaller than . Furthermore, velocity anisotropy and mechanical anisotropy decrease with the increase of stress and are sensitive to stress and lithology. The closure of large aspect-ratio pores (and/or microcracks) seems to be a dominant mechanism controlling the change of anisotropy. Finally, the changes in mechanical anisotropy under applied stress are larger compared with the changes in velocity anisotropy, indicating that mechanical properties are more sensitive to the changes in rock property.