The Co Knight shift was measured in an aligned powder sample of Na_xCoO_2yH_2O, which shows superconductivity at T_c sim 4.6 K. The Knight-shift components parallel (K_c) and perpendicular to the c-axis (along the ab plane K_{ab}) were measured in both the normal and superconducting (SC) states. The temperature dependences of K_{ab} and K_c are scaled with the bulk susceptibility, which shows that the microscopic susceptibility deduced from the Knight shift is related to Co-3d spins. In the SC state, the Knight shift shows an anisotropic temperature dependence: K_{ab} decreases below 5 K, whereas K_c does not decrease within experimental accuracy. This result raises the possibility that spin-triplet superconductivity with the spin component of the pairs directed along the c-axis is realized in Na_xCoO_2yH_2O.
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