We use cross-correlation of seismic noise recorded at stations in the San Andreas Fault Observatory at Depth (SAFOD) pilot hole to extract P and S waves and measure S-wave anisotropy on the horizontal components. The data are recorded at seven three-component stations at depths from 1857 to 2097 m in the pilot hole. In late September and early 2004 October drilling noise underneath the stations generated propagating waves, which were absent in the rest of October. Estimates of the P- and S-wave velocities from the cross-correlations, on the vertical and horizontal components, respectively, are consistent with velocity measurements taken directly in the borehole. We observe polarization of the S wave, with a fast polarization direction of 120°–130° that is 4 per cent faster than the slow direction. Cross-correlation of the seismic noise can accurately determine S-wave anisotropy.