We revisited the anisotropy of the heavy-fermion material CeCo$_2$Ga$_8$ by measuring the electrical resistivity and magnetic susceptibility along all the principal $mathbf{a}$-, $mathbf{b}$- and $mathbf{c}$-axes. Resistivity along $mathbf{c}$-axis ($rho_c$) shows clear Kondo coherence below about 17 K, while both $rho_{a}$ and $rho_{b}$ remain incoherent down to 2 K. The magnetic anisotropy is well understood within the theoretical frame of crystalline electric field effect in combination with magnetic exchange interactions. We found the anisotropy ratio of these magnetic exchange interactions, $|J_{ex}^c/J_{ex}^{a,b}|$, reaches a large value of 4-5. We, therefore, firmly demonstrate that CeCo$_2$Ga$_8$ is a quasi-one-dimensional heavy-fermion compound both electrically and magnetically, and thus provide a realistic example of textit{Kondo chain}.