Recently, thermal recovery technologies such as combustion have been studied for shale gas recovery. Thus, understanding of the microstructure of combusted shale is essential for evaluating the effects of thermal treatment on shale gas transport capacity. In this study, the effect of combustion on shale microstructure changes was investigated. Firstly, different-sized shale samples were combusted at 450 °C for 30 min. Afterward, shale microstructure properties including surface topographies, porosity and permeability of the raw and combusted shale samples were measured and compared. It was found that the pore volume and specific surface area increased after combustion, especially for small pulverized samples. According to surface topography obtained from atomic force microscope, more rough surfaces were obtained for the combusted shale due to larger pores and generation of thermal fractures caused by the removal of organic matter. Based on the mercury intrusion porosimetry measurements, the porosity of the shale samples increased from 2.79% to 5.32% after combustion. In addition, the permeability was greatly improved from 0.0019 to 0.6759 mD, with the effective tortuosity decreased from 1075.40 to 49.27. As a result, combustion treatment can significantly improve the gas transport capacity.