To study the mechanical responses induced by undrained expansion of a cavity in natural clay soils, considering the K₀-consolidated property and the stress history of the natural saturated clay, as well as the relationship among the radial, tangential, and vertical stresses, an elasto-plastic analytical solution to the undrained cylindrical cavity expansion in K₀-consolidated saturated natural clay, which was under the initial stress anisotropic condition, was derived based on the modified Cam-clay (MCC) model, large-deformation theory and the elastic-plastic boundary conditions. The solution presented in this paper was verified by the well-documented numerical solution and compared with the previous initial stress isotropy assumption based solution. The effect of the K₀-consolidated property and stress history on the stress fields and the plastic radius during the cavity expansion process was discussed in detail. The results show that the present closed-form elasto-plastic solution matches the numerical solution fairly well, and the present solution can be reduced to the initial stress isotropy assumption based solution. The K₀-consolidated property has a significant effect on the stress fields around the cavity during the cavity expansion process, especially on the limit cavity expansion pressure. The effect of the initial stress anisotropy on cavity expansion increases with the degree of the initial stress anisotropy. This paper provides a theoretical benchmark for pile installation and pressuremeter test in natural clay soils.