Shale gas is an important unconventional natural gas resource, but shale has extremely low permeability. Production of shale gas can be improved by using proppants for hydraulic fracturing and maintaining fracture conductivity, and a better understanding of the permeability and its anisotropy of proppant-supported fractures would be useful in optimising gas production. This paper described experiments on shale permeability and its anisotropy with respect to gas pressure, effective stress and gas type for a natural fracture supported with two sizes of proppant. A cubic sample from the Silurian Longmaxi formation in the Sichuan Basin, China, was used in the study; the testing direction of the sample was altered, and both helium (non-sorbing) and methane (sorbing) were tested. Microscopic X-ray computerised tomography (μ-CT) scanning was used to reveal the proppant distribution and fracture shape. Finally, an analytical model was applied to describe the permeability with respect to pore pressure and effective stress and the results were used to determine the relationships between initial fracture compressibility, Klinkenberg coefficient and absolute permeability. The permeabilities of propped fractures were found to be a few hundred or even a few thousand times higher than those of the natural fracture under the same experimental conditions, with both the proppant size and the amount of proppants added affecting this increase. The permeability was anisotropic in two horizontal directions. The direction and ratio of permeability anisotropy of the proppant-supported fracture differed from those of the natural fracture, depending on the amount of proppants added and their distribution in the fracture. The model indicated that permeability decreased with effective stress at a given pore pressure, and with pore pressure at a given effective stress. It also suggested that adding proppants will significantly change the absolute permeability but not the initial fracture compressibility. Although the permeability had strong anisotropy, the initial fracture compressibility relationships with absolute permeability were independent of flow direction and followed the same trend. The relationship between the Klinkenberg constant and absolute permeability was found to be well described by a cubic law function.