Palladium diselenide (PdSe2), a peculiar noble metal dichalcogenide, has emerged as a new two-dimensional material with high predicted carrier mobility and a widely tunable band gap for device applications. The inherent in-plane anisotropy endowed by the pentagonal structure further renders PdSe2 promising for novel electronic, photonic, and thermoelectric applications. However, the direct synthesis of few-layer PdSe2 is still challenging and rarely reported. Here, we demonstrate that few-layer, single-crystal PdSe2 flakes can be synthesized at a relatively low growth temperature (300 degrees C) on sapphire substrates using low-pressure chemical vapor deposition (CVD). The well-defined rectangular domain shape and precisely determined layer number of the CVD-grown PdSe2 enable us to investigate their layer-dependent and in-plane anisotropic properties. The experimentally determined layer-dependent band gap shrinkage combined with first-principle calculations suggest that the interlayer interaction is weaker in few-layer PdSe2 in comparison with that in bulk crystals. Field-effect transistors based on the CVD-grown PdSe2 also show performances comparable to those based on exfoliated samples. The low-temperature synthesis method reported here provides a feasible approach to fabricate high-quality few-layer PdSe2 for device applications.