Series of testing on coarse grained soils were carried out with a true triaxial testing apparatus. The loads were applied from the major principal and minor principal directions, respectively, to simulate the construction and water impounding process of a rock fill dam. The stress and strain relationships induced by the different loading methods were investigated. A remarkable stress-induced anisotropy under complex stress state was observed. Contrary to popular assumptions in traditional numerical analysis and constitutive models, it was found that different elastic modulus and Poisson ratio exist in different principal directions in rock fill dams. From the testing results, an anisotropic constitutive model based on Duncan-Chang nonlinear model is presented to overcome the limitations of axi-symmetric assumptions in conventional triaxial experiments and constitutive models. Both models were then applied in FEM analysis of an under-construction earth core high rock soil filled dam with the focus on hydraulic fracturing. The study reveals the major biases that exist when numerical analysis and constitutive models do not give serious consideration to the intermediate principal stress and anisotropy effects in soil rock built structures.