Understanding the mechanisms of shale–water interaction by water vapour adsorption is crucial for predicting shale gas productivity. In this study, equilibrium adsorption data of water vapour on four different shales of the Sichuan Basin at three temperatures (298, 308, and 318 K) were measured using static gravity techniques. The water vapour adsorption isotherms were simulated by three statistical physics models. Steric parameters, including the number of water vapour molecules adsorbed per site (n), monolayer adsorption amount (q0), and adsorption energy (ΔEa), and thermodynamic parameters such as configuration entropy (Sa), internal energy (Eint), and free energy (Ga) derived from the selected model were used to explain the adsorption mechanism. The model analyses suggest that the adsorbed water vapour molecules are attached to the shale surface in a multi‐anchorage manner. The adsorption of the first layer shows a Type I characteristics, while the adsorption of the subsequent layer is of Type III. The calculated adsorption energies indicate that the physical adsorption takes place on the water vapour molecules on the shale, and the main interaction forces are hydrophilic bonding forces and van der Waals forces. Negative Eint and Ga values indicate that the spontaneous properties are for water vapour adsorption and that the system requires the release of energy to capture the water vapour molecules.