Shale oil and gas development is still prevailing over the global energy industry and an accurate prediction on the mechanical behaviors of shale is essential. Conventional constitutive models for rocks often employ yield surfaces such as Mohr-Coulomb or Drucker-Prager. Such yield surfaces only contain a shear surface but lack a hardening cap, which could lead to inaccurate predictions on shale stresses and strains under high confining pressure.To overcome the limitations, this paper built a constitutive model for shale based on the theory of continuous surface cap. The model considers shale bedding plane inclinations and treats shales as transversely isotropic materials. A continuous surface cap is employed as the yield surface and corresponding stress return algorithm is established for the plastic update on stresses and strains. Strain rate effects and damage are also modeled. A computing framework calculating stresses based on given strain increment is also established. The model is verified by standard compressive tests on shales samples with different bedding plane inclinations under different confining pressure (up to 65 MPa). A good agreement between model predictions and test measurements is found. The comparison to conventional Drucker-Prager model also proves the capability of the proposed model.