Longmaxi shale formation has developed beddings and fractures in southern Sichuan, which is prone to well leakage and wellbore instability. In the drilling process of horizontal section of Ning 209H58-2 well, drilling fluid would loss during circulation and return after pump stopped in the same section, which was the obviously respiration effect. The larger amount of leakage and pumping back, the greater the difference of drilling fluid density would be, accompanied by the increasing value of the gas. In this paper, shale was determined to have “screen effect” by assuming methods, the drilling fluid would loss as the equivalent circulating density was greater than the crack opening pressure, and the crack width was just in the size range of barite particle, then the larger size barite cannot enter in shale cracks end gathered together, and low density drilling fluid would penetrated into the formation, and then the drilling fluid density would be high in the first and low then after circulation again. The equivalent circulating density would be controlled by reducing the drilling fluid density, the effects of microfracture opening and respiration would be avoided, and the drilling fluid density would return to normal after circulation. This paper illustrates that the shale screen effect was the main reason for the uneven density of drilling fluid, which was expected to provide technical support for the development of horizontal shale gas Wells.