Seismology finds that Earth's solid inner core behaves anisotropically. Interpretation of this requires a knowledge of crystalline elastic anisotropy of its constituents-the major phase being most likely ε-Fe, stable only under high pressure. Here, single crystals of this phase are synthesized, and its full elasticity tensor is measured between 15 and 33 GPa at 300 K. It is calculated under the same conditions, using the combination of density functional theory and dynamical mean field theory, which describes explicitly electronic correlation effects. The predictive power of this scheme is checked by comparison with measurements; it is then used to evaluate the crystalline anisotropy in ε-Fe under higher density. This anisotropy remains of the same amplitude up to densities typical of Earth's inner core.