We report a systematic study on the magnetic, dielectric, and magnetoelectric (ME) properties of the Y-type hexaferrite (Ba0.4Sr1.6)Zn2(Fe11.3Al0.7)O22 single crystal. The phase diagrams were established by the observed magnetic anomalies under magnetic field and temperature scans for the in-plane and out-of-plane cases. Intrinsic large anisotropy in the magnetodielectric and converse ME effects was revealed. The spin-driven electric polarizations induced in the ab-plane and out-of-plane were found to be closely related to the transverse conical and alternating longitudinal conical spin structures, respectively. The amplitudes of varied magnetization ΔM are about ∼0.128 μB/f.u and ∼0.0178 μB/f.u. in the E oscillating between ±1 MV/m at 100 K, corresponding to the converse ME effect coefficient of ∼3500 ps/m and ∼480 ps/m for the in-plane and out-of-plane cases, respectively. All these results demonstrate the essential and unique spin-order-induced anisotropic ferroelectricity and ME properties in these Y-type hexaferrites.