Shale gas formations exhibit strong mechanical and strength anisotropies. Thus, it is necessary to study the effect of anisotropy on the hydraulic fracture initiation pressure. The calculation model for the in-situ stress of the bedding formation is improved according to the effective stress theory. An analytical model of the stresses around wellbore in shale gas reservoirs, in consideration of stratum dip direction, dip angle, and in-situ stress azimuth, has been built. Besides, this work established a calculation model for the stress around the perforation holes. In combination with the tensile failure criterion, a prediction model for the hydraulic fracture initiation pressure in the shale gas reservoirs is put forward. The error between the prediction result and the measured value for the shale gas reservoir in the southern Sichuan Province is only 3.5%. Specifically, effects of factors including elasticity modulus, Poisson's ratio, in-situ stress ratio, tensile strength, perforation angle (the angle between perforation direction and the maximum principal stress) of anisotropic formations on hydraulic fracture initiation pressure have been investigated. The perforation angle has the largest effect on the fracture initiation pressure, followed by the in-situ stress ratio, ratio of tensile strength to pore pressure, and the anisotropy ratio of elasticity moduli as the last. The effect of the anisotropy ratio of the Poisson's ratio on the fracture initiation pressure can be ignored. This study provides a reference for the hydraulic fracturing design in shale gas wells.