In the treatment of bone non-unions, an alternative to bone autografts is the use of bone morphogenetic proteins (BMPs), e.g., BMP–2, BMP–7, with powerful osteoinductive and osteogenic properties. In clinical settings, these osteogenic factors are applied using absorbable collagen sponges for local controlled delivery. Major side effects of this strategy are derived from the supraphysiological doses of BMPs needed, which may induce ectopic bone formation, chronic inflammation, and excessive bone resorption. In order to increase the efficiency of the delivered BMPs, we designed cryostructured collagen scaffolds functionalized with hydroxyapatite, mimicking the structure of cortical bone (aligned porosity, anisotropic) or trabecular bone (random distributed porosity, isotropic). We hypothesize that an anisotropic structure would enhance the osteoconductive properties of the scaffolds by increasing the regenerative performance of the provided rhBMP–2. In vitro, both scaffolds presented similar mechanical properties, rhBMP–2 retention and delivery capacity, as well as scaffold degradation time. In vivo, anisotropic scaffolds demonstrated better bone regeneration capabilities in a rat femoral critical-size defect model by increasing the defect bridging. In conclusion, anisotropic cryostructured collagen scaffolds improve bone regeneration by increasing the efficiency of rhBMP–2 mediated bone healing.