The adsorption content of the shale sample and pure clay minerals decreased at a high pressure and clearly declined for pure clay minerals. With the increase in the test pressure, the degree of deviation between the gaseous phase CH4 density increment rate and the adsorbed phase CH4 mass increment rate decreased, which resulted in a decrease in the methane adsorption values calculated at a high pressure. As the test pressure increased, the measurement volume of the shale sample and the pure clay minerals decreased. In the adsorption measurement, the diameter of CH4 is larger than that of He, with the development of the micropores in shale; the actual measurement volume was larger compared to that in the buoyancy measurement. Accompanied by the increase in the test pressure and adsorption, the volume of the adsorbed phase CH4 should also be considered in the calculation performed in the adsorption measurement. All of these factors have reinforced the calculated degree of reduction of methane adsorption at a high pressure. Besides the adsorption capacities of different pure clay minerals being different, the content and types of pure clay minerals also affected the adsorption capacity of shale at a high pressure.