Two-dimensional (2D) PdSe₂ has garnered sustained interest due to its unique puckered pentagonal lattice, which endows it with nonlinear optical activity, strong in-plane anisotropy, sizable bandgap, and environmental stability. However, the advancement of this system toward optoelectronic device applications has been limited by the lack of reliable direct-growth routes for high-quality 2D PdSe₂ crystals with regulated thickness. In this paper, we report the bottom-up growth of few-layer and multilayer 2D PdSe₂ nanosheets on sapphire substrates via a growth-parameter-regulated chemical vapor transport reaction. The high quality of the as-grown PdSe₂ nanosheets is confirmed by aberration-corrected scanning transmission electron microscopy images and low-frequency Raman spectroscopy. We further investigate the strong optical anisotropy of PdSe₂ nanosheets using the second-harmonic generation response and angle-resolved polarized Raman spectroscopy. Moreover, electrical transport measurements reveal large anisotropic ratios of 4.9 for electrical conductivity and 6.3 for carrier mobility. This work opens a new route for the synthesis of variable-thickness 2D pentagonal materials and establishes PdSe₂ as an excellent candidate for polarization-sensitive optoelectronic devices.