To improve the epitaxial crystallization ability of poly(3-hexylthiophene) (P3HT) on a highly oriented polyethylene (PE) substrate, controlled solvent vapor treatment (CSVT) is employed. The anisotropic structures and related optical properties depend not only on the solvent used to prepare the film but also on the subsequent solvent vapor treatment pressure and time. A highly oriented PE film facilitates the "side-on" chain orientation of P3HT with its c axis parallel to the drawing direction of the PE film. The dichroic ratio (DR) of the P3HT film reflected by UV-vis spectra can reach as high as 7.1, which is much larger than the value treated by thermal annealing. Moreover, the excitation bandwidth W, indicating the effective conjugation length and molecular order, shows significant anisotropic features. Solvent used for solution processing with a high boiling point is more favorable for inducing anisotropic multiscale structures. In particular, the oriented structures lead to obvious anisotropic carrier mobility. The carrier mobility of P3HT after CSVT along the PE molecular chain direction is 7.5 times higher than that measured perpendicular to the PE chain direction. This is of great importance in fabricating anisotropic thin films of conjugated polymeric semiconductors with enhanced performance.