This study systematically investigated the effects of different annealing heat treatment processes on the tensile properties of selective laser melted (SLM) 316L stainless steel in different build directions. The results show that significant tensile property anisotropy is present in the SLM specimens in different build directions. The elongation of the 0°, 45°, and 90° specimens significantly increase by 20.21%, 31.54%, and 16.93%, respectively, whereas the ultimate tensile strength values slightly decrease by 7.05%, 3.35%, and 2.19%, respectively, after annealing heat treatment at 950 °C for 0.5 h. In addition, the average sizes of the cellular grains of the 0°, 45°, and 90° specimens are reduced by 34%, 51%, and 46%, respectively, and the average dislocation densities decrease by 5.71%, 10.00%, and 43.62%, respectively. Recrystallization occurs in the SLM specimens in different build directions. The synergistic effects of fine grain strengthening, low dislocation density, and recrystallization contribute to the significant improvements in toughness and anisotropy of the SLM specimens in different build directions. Finally, the enhancement mechanism of annealing heat treatment on the anisotropy of the SLM 316L stainless steel in different build directions is revealed.