Materials with anisotropic material parameters can be utilized to fabricate many fascinating devices, such as hyperlenses, metasolids, and one-way waveguides. In this study, we analyze the effects of geometric anisotropy on a two-dimensional metamaterial composed of a rectangular array of elliptic cylinders and derive an effective medium theory for such a metamaterial. We find that it is possible to obtain a closed-form analytical solution for the anisotropic effective medium parameters, provided the aspect ratio of the lattice and the eccentricity of the elliptic cylinder satisfy certain conditions. The derived effective medium theory not only recovers the well-known Maxwell-Garnett results in the quasi-static regime, but is also valid beyond the long-wavelength limit, where the wavelength in the host medium is comparable to the size of the lattice so that previous anisotropic effective medium theories fail. Such an advance greatly broadens the applicable realm of the effective medium theory and introduces many possibilities in the design of structures with desired anisotropic material characteristics. A real sample of a recently theoretically proposed anisotropic medium, with a near-zero index to control the flux, is achieved using the derived effective medium theory, and control of the electromagnetic waves in the sample is clearly demonstrated.