The rising worldwide energy demands and the difficulty in developing novel clean energies have greatly stimulated the exploitation of shale gas. Understanding adsorption and diffusion of shale gas under different geological depths is an important issue. In this work, we use grand canonical Monte Carlo (GCMC) and molecular dynamics (MD) simulations to investigate adsorption and diffusion behavior of shale gas (main component is methane) in a modeled shale in different burial depths up to 6 km. To examine the diffusion of shale gas, the equilibrium configuration of GCMC simulation is used as initial inputs for further MD simulations. The results indicate that the capacity of shale gas increases slightly with the depth, while the diffusion coefficient of shale gas in the shale matrix decreases with the increase of the pressure. Interestingly, a maximum diffusion coefficient of methane appears in a burial depth of 5 km. By cooperatively considering adsorption and diffusion results, we propose that the optimum operating condition is under a depth of 35 km. Moreover, we find that, when the basal spacing increases to 100 angstrom, the diffusion coefficients obtain an improvement of 80 times compared to the case with basal spacing of 8 angstrom, which provides useful guidance for exploitation of shale gas.