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Hafnium pentatelluride (HfTe₅) has attracted extensive interest due to its exotic electronic, optical, and thermal properties. As a highly anisotropic crystal (layered structure with in‐plane chains), it has highly anisotropic electrical‐transport properties, but the anisotropy of its thermal‐transport properties has not been established. Here, accurate experimental measurements and theoretical calculations are combined to resolve this issue. Time‐domain thermoreflectance measurements find a highly anisotropic thermal conductivity, 28:1:8, with values of 11.3 ± 2.2, 0.41 ± 0.04, and 3.2 ± 2.0 W m^-1K^-1along the in‐planea‐axis, through‐planeb‐axis, and in‐planec‐axis, respectively. This anisotropy is even larger than what was recently established for ZrTe₅(12:1:6), but the individual values are somewhat higher, even though Zr has a smaller atomic mass than Hf. Density‐functional‐theory calculations predict thermal conductivities in good agreement with the experimental data, provide comprehensive insights into the results, and reveal the origin of the apparent anomaly of the relative thermal conductivities of the two pentatellurides. These results establish that HfTe₅and ZrTe₅, and by implication their alloys, have highly anisotropic and ultralow through‐plane thermal conductivities, which can provide guidance for the design of materials for new directional‐heat‐management applications and potentially other thermal functionalities.