Monocrystalline titanium dioxide (TiO2) micro‐spheres support two orthogonal magnetic dipole modes at terahertz (THz) frequencies due to strong dielectric anisotropy. For the first time, we experimentally detected the splitting of the first Mie mode in spheres of radii m through near‐field time‐domain THz spectroscopy. By fitting the Fano lineshape model to the experimentally obtained spectra of the electric field detected by the sub‐wavelength aperture probe, we found that the magnetic dipole resonances in TiO2 spheres have narrow linewidths of only tens of gigahertz. Anisotropic TiO2 micro‐resonators can be used to enhance the interplay of magnetic and electric dipole resonances in the emerging THz all‐dielectric metamaterial technology.