Wellbore collapse which has been found in most of the horizontal wells in shale gas reservoirs inland affects drilling cycle and subsequent fracturing. Since shale gas wells have horizontal section as long as 1,000m or more in general, and shale has properties such as rich bedding planes, occurrence varied, hard and brittle, high water sensitive mineral content, wellbore collapse or leakage often happens. Influence factors of shale gas horizontal well stability include shale integrated features, geomechanical factors, the integrated nature of the drilling fluid and other engineering factors. The primary pathway to alleviate wellbore collapse is to recognize the special mechanical properties of shale, focusing on the impact of different drilling fluids on shale mechanical properties. This understanding could be one of the most important bases for drilling fluid optimization. The next work is compressive study of earth stress. Finally, getting drilling fluid density range calculated by reasonable mechanical model and using of fast and efficient drilling tools could ensure shale gas horizontal well stability most effectively.