We construct a holographic SU(2) p-wave superconductor model with Weyl corrections. The high derivative (HD) terms do not seem to spoil the generation of the p-wave superconducting phase. We mainly study the properties of AC conductivity, which is absent in holographic SU(2) p-wave superconductor with Weyl corrections. The conductivities in superconducting phase exhibit obvious anisotropic behaviors. Along $y$ direction, the conductivity $sigma_{yy}$ is similar to that of holographic s-wave superconductor. The superconducting energy gap exhibits a wide extension. For the conductivity $sigma_{xx}$ along $x$ direction, the behaviors of the real part in the normal state are closely similar to that of $sigma_{yy}$. However, the anisotropy of the conductivity obviously shows up in the superconducting phase. A Drude-like peak at low frequency emerges in $Resigma_{xx}$ once the system enters into the superconducting phase, regardless of the behaviors in normal state.