In order to clarify some misunderstandings of shale gas, the occurrence state of shale gas was studied. Shale is a type of rock consisting of matrix mudstone and micro sandslices, which is heterogeneous mudstone with stratification structures. Sandslices are microscopic and poorly continuous, which are the micro traps of lithology in shale. The methane generated in matrix of shale migrates a short distance into sandsilces and accumulates and forms reservoirs. Shale gas is free gas stored in micro sandslices. There is no adsorption gas in shale matrix and sandslices. Shale gas reservoirs are not continuous reservoirs, which consist of numerous micro gas reservoirs. There is no connection between micro gas reservoirs. The development of shale gas needs to use horizontal wells with multiple macrofracturing which can connect mirco gas reservoirs as more as possible. Because there is only one component of methane in shale gas, the concept of concentration is not appropriate and the diffusion phenomenon cannot take place in shale gas development. Gas flow driven by pressure difference is the main mechanism of shale gas production. Shale gas reservoirs are typical single-pore media, but not dual-pore media.