Steel-lined pressure tunnels and shafts are constructed to convey water from reservoirs to hydroelectric power plants. They are multilayer structures made of a steel liner, a cracked backfill concrete layer, a cracked or loosened near-field rock zone and a sound far-field rock zone. Designers often assume isotropic behavior of the farfield rock, considering the most unfavorable rock mass elastic modulus measured in situ, and a quasi-static internal water pressure. Such a conventional model is thus axisymmetrical and has an analytical solution for stresses and displacements. However, rock masses often have an anisotropic behavior and such isotropic assumption is usually conservative in terms of quasi-static maximum stresses in the steel liner. In this work, the stresses and displacements in steel-lined pressure tunnels and shafts in anisotropic rock mass are studied by means of the finite element method. A quasi-static internal water pressure is considered. The materials are considered linear elastic, and tied contact is assumed between the layers. The constitutive models used for the rock mass and the cracked layers are presented and the practical ranges of variation of the parameters are discussed. An extensive systematic parametric study is performed and stresses and displacements in the steel liner and in the far-field rock mass are presented. Finally, correction factors are derived to be included in the axisymmetrical solution which allow a rapid estimate of the maximum stresses in the steel liners of pressure tunnels and shafts in anisotropic rock.