The quantum dynamics of a damped harmonic oscillator is investigated in the presence of an anisotropic heat bath. The medium is modeled by a continuum of three dimensional harmonic oscillators and anisotropic coupling is treated by introducing tensor coupling functions. Starting from a classical Lagrangian, the total system is quantized in the framework of the canonical quantization. Following the Fano technique, the Hamiltonian of the system is diagonalized in terms of creation and annihilation operators that are linear combinations of the basic dynamical variables. Using the diagonalized Hamiltonian, the mean force internal energy, free energy and entropy of the damped oscillator are calculated.