A prosthetic heart valve having an anchoring sleeve that changes shape when the valve is implanted and contacts the surrounding annulus to prevent migration of the valve. The heart valve may be non-expandable and the anchoring sleeve may provide the primary anchoring structure of the valve. Alternatively, the valve may be expandable wherein the anchoring sleeve supplements the inherent anchoring capacity of the valve structure. The anchoring sleeve is at least partly made of a material that increases in size, i.e., swells, due to absorption of body fluids. For instance, the anchoring sleeve may be formed of an inner material that swells upon contact with body fluids enclosed by a cover. The anchoring sleeve desirably changes shape to provide spaced apart annular flanges for securing the valve around a fibrous annulus. An anchoring sleeve for a prosthetic heart valve having an expandable frame surrounds a majority of the frame and may define an external hourglass configuration.