We report measurements of the temperature-dependent anisotropies (gamma(lambda) and gamma(xi)) of both the London penetration depth lambda and the upper critical field of MgB2. Data for gamma(lambda)=lambda(c)/lambda(a) was obtained from measurements of lambda(a) and lambda(c) on a single crystal sample using a tunnel diode oscillator technique. gamma(xi)=H(perp)c(c2)/H(||c)(c2) was deduced from field-dependent specific heat measurements on the same sample. Gamma(lambda) and gamma(xi) have opposite temperature dependencies, but close to T(c) tend to a common value (gamma(lambda) similar or equal to gamma(xi)=1.75 +/- 0.05). These results are in good agreement with theories accounting for the two-gap nature of MgB2.