Here in LoicTheAztec's answer is shown how to retrieve this information.
Only for WooCommerce v3.0+
Basically, you can call
// Get an instance of the WC_Order object
$order = wc_get_order( $order_id );
This will return an array to the billing order data, including billing and shipping properties. Explore it by var_dump-ing it.
Here's an example:
$order_billing_data = array(
"first_name" => $order_data['billing']['first_name'],
"last_name" => $order_data['billing']['last_name'],
"company" => $order_data['billing']['company'],
"address_1" => $order_data['billing']['address_1'],
"address_2" => $order_data['billing']['address_2'],
"city" => $order_data['billing']['city'],
"state" => $order_data['billing']['state'],
"postcode" => $order_data['billing']['postcode'],
"country" => $order_data['billing']['country'],
"email" => $order_data['billing']['email'],
"phone" => $order_data['billing']['phone'],
);