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In this paper, we establish the full-wave electromagnetic scattering theory to study the electromagnetic scattering from infinitely long cylinders with cylindrically anisotropic coatings. We show that the total effective scattering width can be dramatically reduced by the suitable adjustment of the dielectric anisotropy of the shell, while it is not the case for tuning the dielectric anisotropy of the core. Furthermore, we could make the cylindrical objects invisible when both dielectric and magnetic anisotropies are adjusted. In the long wavelength limit, we develop effective medium theory to derive the effective isotropic permittivity and permeability for the anisotropic coated cylinders, and the invisibility radius ratio derived from the full-wave theory for small coated cylinders can be well described within the effective medium theory. [ABSTRACT FROM AUTHOR]