Under the current situation of frequent oil spills, the development of green and recyclable high-efficiency oil-absorbing aerogel materials has attracted wide attention from researchers. In this study, we report a high-strength, three-dimensional hydrophobic cellulose nanofiber (CNF)/polyvinyl alcohol (PVA)/graphene oxide (GO) composite aerogel with an anisotropic porous structure, which was fabricated by directional freeze-drying technology using anisotropically grown ice crystals as a template, followed by hydrophobic treatment with a simple dip coating process. The prepared composite aerogel presented anisotropic multi-level pore microstructures, low density (17.95 mg/cm3) and high porosity (98.8%), good hydrophobicity (water contact angle of 142°) and great adsorption capacity (oil absorption reaching 96 times its own weight). More importantly, the oriented aerogel had high strength, whose compressive stress at 80% strain reached 0.22 MPa and could bear more than 22,123 times its own weight without deformation. Therefore, the CNF/PVA/GO composite aerogel prepared by a simple and easy-to-operate directional freeze-drying method is a promising absorbent for oil-water separation.