This work applied the AutoLab 2000 test system to investigate three kinds of core samples of sandstone from the Yanchang oilfield that were cut parallel and perpendicular to the bedding planes (named H and V, respectively), and obtained accurate P‐ and S‐wave velocities, and wave velocity anisotropy data at pressures up to 180 MPa in dry, water‐ and oil‐saturated states for those sandstone. The results show the wave velocities VP, VSH and VSV for all H and V samples cut from three kinds of samples of sandstone Y1, Y2 and Y3 change basically logarithmically with increasing confining pressure p, and for all VP, the slopes of the oil‐saturated curves are greater than that of the corresponding water‐saturated curves. For all H samples, in dry, water‐ and oil‐saturated conditions, the VP and VSH and VSV are larger than the corresponding ones for V samples. For two kinds of sandstones Y1 and Y2, the wave velocity anisotropy parameters ε, γ and ζ change exponentially or in a quadratic curve with increasing confining pressure, and Y2 has a greater correlation coefficient of anisotropy parameters than Y1, but there is no wave velocities anisotropy in Y3. In addition, in dry, water‐ and oil‐saturated conditions the relationships between ε, γ and p or γ, ζ and p are quite distinct from each other, that is, the anisotropy factors ε, γ and ζ of Y1 and Y2 exhibit a clear correlation with pressure and the fluid property, and ε and γ in oil‐saturated condition are larger than that in the corresponding water‐saturated condition at the experimental pressure. The experimental results can provide an important basis for the interpretation of seismic data, identifying oil and water zones and comparing with well log data in the study area.