Shale displays obvious anisotropy due to the orientation of the rock mineral particles during the deposition process and its layered structure of weak surfaces. Potassium chloride can inhibit the hydration expansion of shale and improve its strength, although wellbore instability is extremely common in layered shale during drilling. In this paper, core samples were collected at different bedding angles (0°, 30°, 60° and 90°) to study the mechanical and anisotropic characteristics of shale saturated in different concentrations of potassium chloride. The laboratory uniaxial compressive strength show that the failure mode of the shale is related to the angle of the bedding plane, and the failure always induces tensile stress at 0° and 90°. At 30° and 60°, shear sliding occurs along the bedding plane. With increasing bedding angle, the strength first decreases and then increases, so the anisotropic strength characteristic curve is approximately U-shaped. The inhibition of clay swelling is optimum at a 4% KCl concentration. A uniaxial compressive strength prediction model is established by an artificial neural network, and the influencing factors are analyzed. The calculation of uniaxial compressive strength is improved, and the problem of predicting uniaxial compressive strength is solved. This study not only elucidates the mechanical anisotropy of shale but also provides basic data on borehole stability and hydraulic fracturing.