The prediction of production volumes from shale gas wells is important in reservoir development. The physical parameters of a reservoir are uncertain and complex, and therefore, it is very difficult to predict the production capability of a shale gas well. An improved GM(1, N) model for shale gas well productivity prediction, focused upon the causes of prediction errors from the existing traditional GM(1, N) method, was established. By processing a data series related to the predicted data, the improved GM(1, N) model takes into account the fluctuations of the original production data, reflects the trend of the original data under the influence of relevant factors, and hence predicts more accurately the fluctuation amplitude and direction of the original data. Additionally, the proposed method has higher accuracy than the conventional GM(1, N), GM(1, 1), and MEP models. The prediction accuracy increases gradually and the relative error decreases gradually from bottom data (casing pressure at well start-up, etc.) to top data (shale gas production). Accordingly, a step-by-step prediction method could be effective in improving prediction accuracy and reflects the typical fluctuation characteristics of shale gas production.