Besides the chemical constituents, it is the lattice geometry that controls the most important material properties. In many interesting compounds, the arrangement of elements leads to pronounced anisotropies, which reflect into a varying degree of quasi two-dimensionality of their low-energy excitations. Here, we start by classifying important families of correlated materials according to a simple measure for the tetragonal anisotropy of their ab initio electronic (band) structure. Second, we investigate the impact of a progressively large anisotropy in driving the non-locality of many-body effects. To this end, we tune the Hubbard model from isotropic cubic in three dimensions to the two-dimensional limit and analyze it using the dynamical vertex approximation. For sufficiently isotropic hoppings, we find the self-energy to be well separable into a static non-local and a dynamical local contribution. While the latter could potentially be obtained from dynamical mean-field approaches, we find the former to be non-negligible in all cases. Further, by increasing the model-anisotropy, we quantify the degree of quasi two-dimensionality which causes this space-time separation to break down. Our systematic analysis improves the general understanding of electronic correlations in anisotropic materials, heterostructures and ultra-thin films, and provides useful guidance for future realistic studies.