Using small angle neutron scattering, the anisotropy of the magnetic vortex lattice (VL), in the heavily hole-doped pnictide superconductor KFe2As2, was studied. Well-ordered VL scattering patterns were measured with fields applied in directions between B∥c and the basal plane, rotating either towards [100] or [110]. Slightly distorted hexagonal patterns were observed when B∥c. However, the scattering pattern distorted more strongly as the field was rotated away from the c axis. At low field, the arrangement of vortices is affected by the anisotropy of penetration depth in the plane perpendicular to the field. By fitting the distortion with the anisotropic London model, we obtain an estimate of ∼3.4 for the anisotropy factor γ between the in-plane and c-axis penetration depths at the lowest temperature studied. The results further reveal VL phase transitions as a function of field direction. We discuss these transitions using the “hairy ball” theorem.