B-site ordered thin films of double perovskite Sr2CoIrO6 were epitaxially grown by a metalorganic aerosol deposition technique on various substrates, actuating different strain states. X-ray diffraction, transmission electron microscopy, and polarized far-field Raman spectroscopy confirm the strained epitaxial growth on all used substrates. Polarization-dependent Co L2,3 x-ray absorption spectroscopy reveals a change of the magnetic easy axis of the antiferromagnetically ordered (high-spin) Co3+ sublattice within the strain series. By reversing the applied strain direction from tensile to compressive, the easy axis changes abruptly from in-plane to out-of-plane orientation. The low-temperature magnetoresistance changes its sign respectively and is described by a combination of weak antilocalization and anisotropic magnetoresistance effects.