The magnetoelectric (ME) effect in FeSb2O4 is investigated with single-crystalline samples. We have examined the dielectric constant and the electric polarization in various directions of a magnetic field relative to the crystallographic axes. The anisotropy of the ME effect was observed below the Neel temperature (TN sa43K). The observed ME property is consistent with a magnetic structure proposed by a former neutron scattering study with the polycrystalline samples. It is also found that the spontaneous electric polarization in the absence of a magnetic field is negligibly small though the proposed magnetic structure allows a finite spontaneous polarization.