Understanding correlation effects in topological phases and their transitions is a cutting-edge area of research in recent condensed matter physics. We study topological quantum phase transitions (TQPTs) between double-Weyl semimetals (DWSMs) and insulators, and argue that a novel class of quantum criticality appears at the TQPT characterized by emergent anisotropic non-Fermi-liquid behaviors, in which the interplay between the Coulomb interaction and electronic critical modes induces not only anisotropic renormalization of the Coulomb interaction but also strongly correlated electronic excitation in three spatial dimensions. Using the standard renormalization group methods, large N_{f} theory, and the ε=4-d method with a fermion flavor number N_{f} and spatial dimension d, we obtain the anomalous dimensions of electrons (η_{f}=0.366/N_{f}) in large N_{f} theory and the associated anisotropic scaling relations of various physical observables. Our results may be observed in candidate materials for DWSMs such as HgCr_{2}Se_{4} or SrSi_{2} when the system undergoes a TQPT.