We analyze locally anisotropic configurations modeled by anholonomic frames with associated nonlinear connections in general relativity, affine–Poincarè and/or de Sitter gauge gravity and Kaluza–Klein theories. A suitable geometrical formalism for theories with higher order anisotropies and non compactified extra dimensions is introduced. We give a mostly self–containing review of some aspects of gauge models of gravity and discuss their anholonomic generalizations and the conditions of equivalence with the Einstein gravity in arbitrary dimensions. New classes of cosmological solutions describing Friedmann–Robertson–Walker like universes with resolution ellipsoid or torus symmetry.