Most applications of the publicly released Gravity Recovery and Climate Experiment monthly gravity field models require the application of a spatial filter to help suppressing noise and other systematic errors present in the data. The most common approach makes use of a simple Gaussian averaging process, which is often combined with a ‘destriping’ technique in which coefficient correlations within a given degree are removed. As brute force methods, neither of these techniques takes into consideration the statistical information from the gravity solution itself and, while they perform well overall, they can often end up removing more signal than necessary. Other optimal filters have been proposed in the literature; however, none have attempted to make full use of all information available from the monthly solutions. By examining the underlying principles of filter design, a filter has been developed that incorporates the noise and full signal variance–covariance matrix to tailor the filter to the error characteristics of a particular monthly solution. The filter is both anisotropic and non-symmetric, meaning it can accommodate noise of an arbitrary shape, such as the characteristic stripes. The filter minimizes the mean-square error and, in this sense, can be considered as the most optimal filter possible. Through both simulated and real data scenarios, this improved filter will be shown to preserve the highest amount of gravity signal when compared to other standard techniques, while simultaneously minimizing leakage effects and producing smooth solutions in areas of low signal.