As a result of the low matrix permeability of shale formation in China, the extraction of shale gases from the rocks becomes difficult. Recently, combustion and other thermal treatment methods were employed to remove organic matter from the shale to increase the permeability of the rock. In this study, geothermal properties of two shale samples were tested and analyzed. It was found that shale 1 has higher methane adsorption capacity, reflectance, and porosity than those of shale 2. Because the shale has low permeability, the two samples were heated in a thermogravimetric analysis (TGA) instrument in inert (N-2 and helium) and non-inert environments (air and CO2) to increase shale permeability by removing the organic matter. From TGA weight loss curves, it was found that the weight loss rates were higher in a helium environment compared to CO2 and air because helium has a higher thermal conductivity, which can promote organic matter cracking. However, organic matter was not oxidized with air, and some still remained inside the samples at the end of the experiments. As a result, pure air may not be a suitable combustion agent to burn the organic matter. Furthermore, the experiment revealed that carrying gases with high thermal conductivity was beneficial for the organic matter cracking.