This work applied AutoLab 2000 computer-controlled servo hydraulic triaxial test system to measure accurate P- and S-wave velocities at pressures up to 180 MPa on three kinds of core samples of sandstones that were cut parallel and perpendicular to the bedding planes (i.e., H and V) in dry, water and oil-saturated conditions from the Yanchang Formation in the Yanchang oilfield, and the wave velocity anisotropy parameters were also calculated. The results show the wave velocities V-P. V-SH, and V-SV 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 V-P, the slopes of the oil-saturated curves are greater than those of the corresponding water-saturated curves; for all H samples, in dry, water- and oil-saturated conditions the V-P, V-SH, and V-SV are larger than the corresponding ones for V samples; for two kinds of sandstones Y1 and Y2, the wave velocity anisotropy parameters epsilon, gamma, and zeta change exponentially or quadratically with increasing confining pressure, and Y2 has a greater correlation coefficient of anisotropy parameters than Y1, but there is no wave velocity anisotropy in Y3. In addition, in dry, water- and oil-saturated conditions the relationships between epsilon, gamma and p or gamma, zeta and p are quite distinct from each other, that is, the anisotropy factors epsilon, gamma and zeta of Y1 and Y2 exhibit a clear correlation with pressure and the fluid property, and the epsilon and gamma 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 zone and comparing with well log data in that region.