This study focuses on the nanostructure of shale samples with type III kerogen and its effect on methane adsorption capacity. The composition, pore size distribution, and methane adsorption capacities of 12 shale samples were analyzed by using the high-pressure mercury injection experiment, low-temperature N2/CO2 adsorption experiments, and the isothermal methane adsorption experiment. The results show that the total organic carbon (TOC) content of the 12 shale samples ranges from 0.70% to ~35.84%. In shales with type III kerogen, clay minerals and organic matter tend to be deposited simultaneously. When the TOC content is higher than 10%, the clay minerals in these shale samples contribute more than 70% of the total inorganic matter. The CO2 adsorption experimental results show that micropores in shales with type III kerogen are mainly formed in organic matter. However, mesopores and macropores are significantly affected by the contents of clay minerals and quartz. The methane isothermal capacity experimental results show that the Langmuir volume, indicating the maximum methane adsorption capacity, of all the shale samples is between 0.78 cm3/g and 9.26 cm3/g. Moreover, methane is mainly adsorbed in micropores and developed in organic matter, whereas the influence of mesopores and macropores on the methane adsorption capacity of shale with type III kerogen is small. At different stages, the influencing factors of methane adsorption capacity are different. When the TOC content is <1.4% or >4.5%, the methane adsorption capacity is positively correlated with the TOC content. When the TOC content is in the range of 1.4–4.5%, clay minerals have obviously positive effects on the methane adsorption capacity.