Let p ∈ (0, ∞) n and A be a general expansive matrix on R n . In this article, via the non-tangential grand maximal function, the authors first introduce the anisotropic mixednorm Hardy spaces H p A (R n ) associated with A and then establish their radial or non-tangential maximal function characterizations. Moreover, the authors characterize H p A (R n ), respectively, by means of atoms, finite atoms, Lusin area functions, Littlewood-Paley g-functions or g * λfunctions via first establishing an anisotropic Fefferman-Stein vector-valued inequality on the mixed-norm Lebesgue space L p (R n ). In addition, the authors also obtain the duality between H p A (R n ) and the anisotropic mixed-norm Campanato spaces. As applications, the authors establish a criterion on the boundedness of sublinear operators from H p A (R n ) into a quasi-Banach space. Applying this criterion, the authors then obtain the boundedness of anisotropic convolutional δ-type and non-convolutional β-order Calderón-Zygmund operators from H p A (R n ) to itself [or to L p (R n )]. As a corollary, the boundedness of anisotropic convolutional δ-type Calderón-Zygmund operators on the mixed-norm Lebesgue space L p (R n ) with p ∈ (1, ∞) n is also presented.