This study evaluates the efficiency of using materials with a high thermal conductivity anisotropy, that is, materials with a significantly higher thermal conductivity in the tangential direction to the coating surface, as compared to the thermal conductivity in the normal direction to this surface, for re-entry ballistic capsules as part of space probe. We have shown the possibility of returning an unmanned ballistic capsule to the Earth from a lunar orbit without destroying the capsule surface when using trajectories with multiple entries into the dense atmosphere and an anisotropic composite heat-shielding coating. As an example, we have suggested the material consisting of alternating thin layers of anisotropic pyrolytic graphite and isotropic glassy carbon. For this material, we have assessed the effects of the volume concentration of components on its properties and demonstrated its advantage over isotropic materials.