The effect of fineness of cement on drying shrinkage was investigated. Three cement paste samples with different fineness values were prepared from the same clinker. The changes in length and mass, and water vapor sorption of the dried cement pastes after 3, 7, 28, and 91 d of curing were obtained. The relationships between drying shrinkage and the degree of hydration were not identical under the different cement fineness values. Therefore, there exists another mechanism behind the increase in drying shrinkage, apart from the faster degree of hydration. It was found that drying shrinkage is well predicted by the index S H2O,v × B, where B denotes the Blaine value of cement, and S H2O,v represents the water vapor sorption surface area. Hence, it was deduced that C–S–H undergoes an anisotropic volume change under drying and a greater shrinkage in the circumferential direction of the original cement grains. • Rapid hydration of finer cement is not the sole mechanism of the increase in the drying shrinkage. • Finer cement increases the drying shrinkage of hcp at the given degree of hydration. • Total drying shrinkage is well predicted by the index S H2O,v × B, where B is cement Blaine value and S H2O,v is water BET area of hcp.