In this paper, we prove new embedding theorems for generalized anisotropic Sobolev spaces, $W_{\Lambda ^{p,q}(w)}^{r_1,\dots ,r_n}$ and $W_{X}^{r_1,\dots ,r_n}$, where $\Lambda ^{p,q}(w)$ is the weighted Lorentz space and $X$ is a rearrangement invariant space in $\mathbb R^n$. The main methods used in the paper are based on some estimates of nonincreasing rearrangements and the applications of $B_p$ weights.