  Non-radial oscillation modes of a neutron star possess valuable information
about its internal structure and nuclear physics. Starting from the quadrupolar
order, such modes under general relativity are known as quasi-normal modes
since they dissipate energy through gravitational radiation and their
frequencies are complex. The stability of these modes is governed by the sign
of the imaginary part of the frequency, which determines whether the mode would
decay or grow over time. In this Letter, we develop a fully consistent
framework in general relativity to study quasi-normal modes of neutron stars
with anisotropic pressure, whose motivation includes strong internal magnetic
fields and non-vanishing shear or viscosity. We employ parametrized models for
the anisotropy and solve the perturbed Einstein field equations numerically. We
find that, unlike the case for isotropic neutron stars, the imaginary parts of
some of the pressure ($p$-)modes flip signs as the degree of anisotropy
deviates from zero, depicting a transition from stable modes to unstable modes.
This finding indicates that some anisotropic neutron star models are unstable,
potentially restricting the form of sustained anisotropy.
