The field stress of the shale affects the proppant embedment, fracture conductivity, well production rate, and ultimately the recovery of hydrocarbons from reservoir formations. This paper presents, for the first time, an experimental study investigating the mechanical characteristics of a shale under confining pressures that simulate the in situ stress state in deep reservoirs. Bidirectional but equal confining pressures were applied to the shale sample to replicate its field stress state. Microindentation tests were conducted to assess the alterations of mechanical properties resulting from the application of confining pressures. The results demonstrate a significant increase in Young’s modulus, hardness, and fracture toughness for the samples subjected to confining pressure. Considering the effect of confining pressure, the decrease in proppant embedment is proportional to Young’s modulus of the shale. For larger-sized proppants (e.g., D = 2.50 mm), the influence of confining pressure on fracture conductivity is relatively minor. However, when smaller-sized proppants (e.g., D = 1.00 mm) are used, particularly in scenarios involving shale debris swelling due to prolonged interaction with fracturing fluid, there is a noticeable improvement in fracture conductivity. Importantly, previous computational models have tended to overestimate proppant embedment depth while underestimating fracture conductivity. The findings from this study contribute to advancing the understanding of shale’s mechanical characteristics under in situ reservoir conditions and support the optimization of proppant embedment and fracture conductivity calculation models for the efficient extraction of shale gas.