Anisotropic fabric and volumetric response to suction changes represent two main features of shales, which are involved in several engineering applications. However, a comprehensive understanding of the interaction between these two aspects is still missing. The present work aims to provide a detailed analysis of the coupling between the water retention capacity of shales and their anisotropic behaviour through an advanced experimental methodology. Among the various tested facies of the Opalinus Clay Shale (Mont Terri, Switzerland), the results from the shaly facies are presented in this study. The behaviour of the material is characterized by swelling and shrinkage respectively upon wetting and drying and by an anisotropic volumetric response upon suction changes, which is higher in the direction perpendicular to bedding plane. As a consequence, a different swelling pressure in the two directions would be expected when the material is wetted in confined conditions. The evolution of the water content is strongly affected by the volumetric strain of the material, where the increase of the volume upon wetting provides more void space for the water to penetrate into the material, enhancing the shale response.