Dense colloidal dispersions exhibit complex wave-vector-dependent diffusion, which is controlled by both direct particle interactions and indirect nonadditive hydrodynamic interactions mediated by the solvent. In bulk the hydrodynamic interactions are probed routinely, but in confined geometries their studies have been hitherto hindered by additional complications due to confining walls. Here we solve this issue by combining high-energy x-ray photon correlation spectroscopy and small-angle x-ray-scattering experiments on colloid-filled microfluidic channels to yield the confined fluid's hydrodynamic function in the short-time limit. Most importantly, we find the confined fluid to exhibit a strongly anisotropic hydrodynamic function, similar to its anisotropic structure factor. This observation is important in order to guide future theoretical research.