Anisotropic penetration of magnetic flux in MgB(2) films grown on vicinal sapphire substrates is investigated using magneto-optical imaging. Regular penetration above 10 K proceeds more easily along the substrate surface steps, the anisotropy of the critical current being 6%. At lower temperatures the penetration occurs via abrupt dendritic avalanches that preferentially propagate perpendicular to the surface steps. This inverse anisotropy in the penetration pattern becomes dramatic very close to 10 K where all flux avalanches propagate in the strongest pinning direction. The observed behavior is fully explained using a thermomagnetic model of the dendritic instability.