Your code looks good, but there are some things which can be simplified.
Additionally, the method can be improved to return a array of the
actual managed object subclass type instead of AnyObject.
Simplifications and small improvements
var request: NSFetchRequest<NSFetchRequestResult>
request is assigned exactly once, therefore it should be a constant:
let request: NSFetchRequest<NSFetchRequestResult>
let entityClassName = NSStringFromClass(entityClass)
let entityName = entityClassName.components(separatedBy: ".").last ?? entityClassName
can be simplified to
let entityName = String(describing: entityClass)
which returns the unqualified class name of the given class
(in contrast to String(reflecting:) which returns the fully qualified
class name including the module name).
if let predicate = predicate {
    request.predicate = predicate
}
if let sortBy = sortBy {
    request.sortDescriptors = sortBy
}
The predicate and sortDescriptors of NSFetchRequest are optionals, so there is no need to conditionally unwrap 
the given parameters. You can assign them directly:
request.predicate = predicate
request.sortDescriptors = sortBy
fetchedResult = try self.fetch(request) as? [T]
We know that the fetch request returns an array of T objects,
the cast cannot fail. Therefore the second half of the method
can be reduced to
do {
    let fetchedResult = try self.fetch(request) as! [T]
    return fetchedResult
} catch let error {
    print(error.localizedDescription)
    throw error
}
making the fetchRequestError variable obsolete. And if you don't
need to print the error locally then no do/catch is needed at all:
let fetchedResult = try self.fetch(request) as! [T]
return fetchedResult
A possible error will be re-thrown to the caller of the method.
Putting it all together, the method now looks like this:
extension NSManagedObjectContext{
    func fetchObjects <T: NSManagedObject>(_ entityClass:T.Type,
                       sortBy: [NSSortDescriptor]? = nil,
                       predicate: NSPredicate? = nil) throws -> [AnyObject] {
        let request: NSFetchRequest<NSFetchRequestResult>
        if #available(iOS 10.0, *) {
            request = entityClass.fetchRequest()
        } else {
            let entityName = String(describing: entityClass)
            request = NSFetchRequest(entityName: entityName)
        }
        request.returnsObjectsAsFaults = false
        request.predicate = predicate
        request.sortDescriptors = sortBy
        let fetchedResult = try self.fetch(request) as! [T]
        return fetchedResult
    }
}
Returning a "correctly" typed array
The return type is [AnyObject], which means that the return value has to be cast to the actual managed object subclass type
let objects = try context.fetchObjects(YourEntity.self) as! [YourEntity]
This can be improved by changing the return type to [T] and using
a typed fetched request NSFetchRequest<T>:
extension NSManagedObjectContext{
    func fetchObjects <T: NSManagedObject>(_ entityClass:T.Type,
                       sortBy: [NSSortDescriptor]? = nil,
                       predicate: NSPredicate? = nil) throws -> [T] {
        let request: NSFetchRequest<T>
        if #available(iOS 10.0, *) {
            request = entityClass.fetchRequest() as! NSFetchRequest<T>
        } else {
            let entityName = String(describing: entityClass)
            request = NSFetchRequest(entityName: entityName)
        }
        request.returnsObjectsAsFaults = false
        request.predicate = predicate
        request.sortDescriptors = sortBy
        let fetchedResult = try self.fetch(request)
        return fetchedResult
    }
}
This is now called as
let objects = try context.fetchObjects(YourEntity.self)
and objects is an array of YourEntity without additional cast.