Clarifying the occurrence, form, content, and distribution of water in shale is conducive to further understanding the internal relationship between “oil (gas)-water-rock”. This line of research has implications in guiding the generation, storage, migration, exploration, and development of shale oil and gas. Considering that the current classification of different waters in shale is complex and inconsistent, a classification approach based on the occurrence state of water is proposed combined with existing classification methods. Specifically, it categorizes water into free-state movable water, volume-filled capillary-bound water, surface-adsorbed bound water film, and structured water of ionic state. Irreducible water is the “competitor” of the storage space and an “obstacle” in the transportation channel for oil (gas). The bound water film occupies the effective adsorption sites of shale oil and gas, and the capillary-bound water blocks small pores and throats. Simultaneously, the occurrence state of water changes with changes in the minerals and organic matter, thus affecting the wettability of the reservoir and the exploration and development of shale oil and gas. In addition, the influence of minerals, organic matter, and pore characteristics on the occurrence-related mechanisms of water in shale were discussed, and thermal analysis and nuclear magnetic resonance detection methods were applied to understand the content, location, and microscopic distribution characteristics of different occurrences of water. This was done to provide a theoretical basis for the efficient development of shale oil and gas.