In this experimental work, we investigated the dynamic behaviour of the transient holographic grating in an Azo dye doped nematic liquid crystal, formed by a pulsed laser. Relaxation behaviour of the grating was studied in two experimental geometries, when the director is parallel or perpendicular to the grating vector. Relaxation time constants for different writing angles were used to measure the diffusion coefficients. The obtained results show the anisotropic diffusion of the photo excited dye molecules.