Formation heat treatment (FHT) can be achieved by converting electromagnetic energy into heat energy (that is microwave heating or MWH). Experimental evidence shows that such FHT can significantly enhance oil and gas recovery. As relatively few research studies have been reported on microwave heating enhanced shale gas recovery (MWH-EGR), a fully coupled electromagnetic-thermo-hydro-mechanical (ETHM) model is developed for the MWH-EGR in the present study. In the ETHM model, a thermal-induced gas adsorption model is firstly proposed for shale gas adsorption and fitted by experimental data. This thermal-induced adsorption model considers the increase of matrix pore space due to the desorption of the adsorbed phase. Further, a thermal-induced fracture model in shale matrix is established and fitted by experimental data. Finally, this ETHM model is applied to a fractured shale gas reservoir to simulate gas production. Numerical results indicated that the thermal-induced fracturing and gas desorption make predominant contributions to the evolution of matrix porosity. The MWH can increase cumulative gas production by 44.9% after 31.7 years through promoting gas desorption and matrix diffusion. These outcomes can provide effective insights into shale gas recovery enhancement by microwave assistance.