To systematically investigate seismic azimuthal anisotropy in the Sumatra subduction zone and probe mantle dynamics associated with the subduction of the Australian Plate beneath the Sunda Plate, a total of 169 pairs of teleseismic XKS (including PKS, SKKS, SKS) and 115 pairs of local S splitting parameters are obtained using broadband seismic data recorded at ~70 stations. Additionally, crustal anisotropy in the overriding Sunda Plate is measured by analyzing the moveout of P‐to‐S conversions from the Moho using a sinusoidal function. Comparison between the three sets of anisotropy measurements obtained using shear waves with different depths of origin suggests that 1) the crust of the Sunda Plate is anisotropic with mostly trench‐parallel fast orientations and a mean splitting time of 0.28±0.05 s; 2) the mantle wedge is azimuthally anisotropic with dominantly trench‐parallel fast orientations and splitting times ranging from 0.22 to 0.81 s, which generally increase with the focal depth; 3) sub‐slab anisotropy is mostly trench‐normal beneath the fore‐arc region with an averaged splitting time of 1.48±0.06 s, and becomes trench‐parallel beneath the arc and back‐arc areas with a mean splitting time of 0.33±0.04 s. The resulting lateral and vertical distributions of anisotropy obtained using splitting of three types of shear waves advocate the presence of an entrained sub‐slab flow that is deflected by the mantle transition zone. The flow enters the mantle wedge through a slab window and flows horizontally parallel to the trench.