Molecular dynamics simulations in conjunction with multiscale shock technique (MSST) are performed to study the initial chemical processes and the anisotropy of shock sensitivity of the condensed-phase HMX under shock loadings applied along the a, b, and c lattice vectors. A self-consistent charge density-functional tight-binding (SCC-DFTB) method was employed. Our results show that there is a difference between lattice vector a (or c) and lattice vector b in the response to a shock wave velocity of 11 km/s, which is investigated through reaction temperature and relative sliding rate between adjacent slipping planes. The response along lattice vectors a and c are similar to each other, whose reaction temperature is up to 7000 K, but quite different along lattice vector b, whose reaction temperature is only up to 4000 K. When compared with shock wave propagation along the lattice vectors a (18 Å/ps) and c (21 Å/ps), the relative sliding rate between adjacent slipping planes along lattice vector b is only 0.2 Å/ps. Thus, the small relative sliding rate between adjacent slipping planes results in the temperature and energy under shock loading increasing at a slower rate, which is the main reason leading to less sensitivity under shock wave compression along lattice vector b. In addition, the C-H bond dissociation is the primary pathway for HMX decomposition in early stages under high shock loading from various directions. Compared with the observation for shock velocities V(imp) = 10 and 11 km/s, the homolytic cleavage of N-NO2 bond was obviously suppressed with increasing pressure.