Based on the effective medium theory, anisotropic microwave absorptive materials have been realized through multi-layered structures of alternating ferromagnetic and dielectric films. The equivalent material constitutive tensors have been calculated and the microwave absorption of the proposed structures with different film orientations has been studied. The analysis shows that by controlling the orientation of the films obvious improvement of the microwave absorption capability could be obtained, which provides a new way for the exploration of novel microwave absorptive materials.