When a polymer chain is confined to a box with sides L(x) not-equal L(y) = L(z) whose dimensions are small compared to the chain radius of gyration, it gives rise to unequal pressure components, P(x) not-equal P(y) = P(z), where P(x) is the pressure acting on a face perpendicular to the x axis. This problem is treated analytically by Doi and Edwards for an ideal Gaussian chain. We study the effect of excluded volume by molecular dynamics simulation of a confined chain with 1600 bonds and find that it increases the pressure anisotropy by a factor of 6 for reasonable packing fractions. By comparison with the pressure anisotropy in the corresponding confined simple liquid, we conclude that in this system the pressure anisotropy is primarily due to packing entropy rather than to chain conformational entropy.