The initial structural evolution of carboxymyoglobin (MbCO) following photodissociation of CO is studied using optically heterodyne-detected (OHD) transient grating (TG) spectroscopy. This method provides detailed dynamical information on the electronic and structural states of the heme protein following photoexcitation. The phase anisotropy of MbCO is found to develop on subpicosecond to picosecond time scales and is much greater than can be attributed to the symmetry of the heme dipole transition. Control studies of carboxyprotoheme and deoxymyoglobin were used to identify the components due to protein structural relaxation and thermal relaxation, respectively. A geometric decomposition of the MbCO grating signals into contributions relative to the molecular axes provides evidence that the protein effectively changes its shape within 500 fs following ligand dissociation. These anisotropic mass displacements are a signature of functionally important motions since they imply a certain degree of directionality or mode selective coupling to the response. The anisotropic relaxation and observed dynamics provide further evidence that the low-frequency collective modes of proteins play an important role in transducing reaction forces into functions.