Magnetization, heat capacity, electrical resistivity, thermoelectric power, and Hall effect have been investigated on single-crystalline Ce_2PdSi_3. This compound is shown to order antiferromagnetically below Neel temperature (T_N) ~3 K. The Sommerfeld coefficient far below T_N is found to be about 110 mJ/K^2 mol Ce, which indicates the heavy-fermion character of this compound. The transport and magnetic properties exhibit large anisotropy with an interplay between crystalline-electric-field (CEF) and Kondo effects. The sign of thermoelectric power is opposite for different directions at high temperatures and the ordinary Hall coefficient is anisotropic with opposite sign for different geometries, indicating the anisotropic Fermi surface. The CEF analysis from the temperature dependence of magnetic susceptibility suggests that the ground state is |+/-1/2>. The first and the second excited CEF doublet levels are found to be located at about 30 and 130 K, respectively. The Kondo temperature is estimated to be the same order as T_N, indicating the presence of a delicate competition between the Kondo effect and magnetic order.