B-site ordered thin films of double perovskite Sr$_2$CoIrO$_6$ were epitaxially grown by a metal-organic aerosol deposition technique on various substrates, actuating different strain states. X-ray diffraction, transmission electron microscopy and polarized far-field Raman spectroscopy confirm the strained epitaxial growth on all used substrates. Polarization dependent Co $L_{2,3}$ X-ray absorption spectroscopy reveals a change of the magnetic easy axis of the antiferromagnetically ordered (high-spin) Co$^{3+}$ sublattice within the strain series. By reversing the applied strain direction from tensile to compressive, the easy axis changes abruptly from in-plane to out-of-plane orientation. The low-temperature magnetoresistance changes its sign respectively and is described by a combination of weak anti-localization and anisotropic magnetoresistance effects.
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