By computer simulations of systems of ellipsoids, we study the influence of the isotropic/nematic phase transition on the direct correlation functions (DCF) in anisotropic fluids. The DCF is determined from the pair distribution function by solving the full Ornstein-Zernike equation, without any approximations. Using a suitable molecular-fixed reference frame, we can distinguish between two qualitatively different contributions to the DCF: One which preserves rotational invariance, and one which breaks it and vanishes in the isotropic phase. We find that the symmetry preserving contribution is barely affected by the phase transition. However, symmetry breaking contributions emerge in the nematic phase and may become quite substantial. Thus the DCF in a nematic fluid is not rotationally invariant. In the isotropic fluid, the DCF is in good agreement with the prediction of the Percus-Yevick theory. (C) 2003 American Institute of Physics.