The in situ pyrolysis process of oil shale by superheated steam is a complex process that is affected by the thermal-hydraulic-mechanical coupled process. Meanwhile, oil shale's physical properties show strong anisotropy in the thermal, hydraulic, and mechanical characteristics due to the mineral arrangements and sedimentary structures. To accurately simulate the in situ oil shale pyrolysis process, the anisotropic thermal, hydraulic, and mechanical characteristics at different temperatures were first determined through laboratory experiments. Then, a thermal-hydraulic-mechanical coupled model that considers the anisotropic thermal-hydraulic-mechanical characteristics was established to simulate the in situ pyrolysis process of oil shale by superheated steam. The distributions of the pore pressure, temperature, stress, deformation, permeability, and production during the in situ pyrolysis process were analyzed. The main results are as follows: (1) the temperature field distributions in oil shale reservoirs are closely related to the migration of superheated steam in reservoirs, and rapid temperature decrease zones are formed at the edges of the temperature fields; (2) the permeability distribution in an oil shale reservoir presents a strong anisotropy, and the evolution of the permeability is related not only to the temperature but also to the stress; (3) compared with the electric heating method, the steam heating method has the characteristics of faster heating and earlier achievement of the oil production peak; (4) the anisotropy of the permeability has the greatest impact on oil and gas production, followed by the anisotropy of the mechanical parameters, while the anisotropy of the heat transfer coefficient has little effect on the oil and gas production. Our fully coupled thermal-hydraulic-mechanical (THM) model that couples the anisotropic thermal-hydraulic-mechanical characteristics can improve the current understanding of heat and mass transfer in the in situ pyrolysis process of oil shale.