With the rapid development of online shopping and traditional physical store shopping interweaving to form different shopping situations, customer experience has gradually become the main source of retailers’ sustainable competitive advantage through differentiation. Retailers need to continuously improve customer experience in different shopping situations to maintain long-term sustainable customer satisfaction and achieve sustainability. The study aims to examine what kind of shopping situations will influence customer experience and customer satisfaction. A total of 288 questionnaires were collected from two different shopping situations (146 questionnaires from physical stores were collected in five cities in China and 142 online questionnaires were collected from 21 provinces in China), and multiple regression analysis was adopted to test the hypotheses. As a result, we found that customer experience with staff service, shopping environment, and shopping procedure has a positive influence on customer satisfaction. Different shopping situations significantly moderate the relationships among customer experience with the shopping environment, product experience, and customer satisfaction but rarely influence customer experience with staff service and service procedures. Finally, gender significantly moderates the relationship between customer experience and customer satisfaction in different shopping situations. This study theoretically reveals the relationship between customer experience and satisfaction in different shopping situations and provides practical suggestions for retailers to form differentiated sustainable competitive advantage through customer experience management.