The application of high-pressure fluid induces the closure of isolated pores inside the matrix and promotes the generation of new fractures, resulting in a compressive effect on the matrix. To examine the compressibility of coal-measure shale samples, the compression of the coal–shale matrix in the high-pressure stage was analyzed by a low-pressure nitrogen gas adsorption and mercury intrusion porosimetry experiment. The quantitative parameters describing the heterogeneity of the pore-size distribution of coal-measure shale are obtained using multifractal theory. The results indicate that the samples exhibit compressibility values ranging from 0.154 × 10−5 MPa−1 to 4.74 × 10−5 MPa−1 across a pressure range of 12–413 MPa. The presence of pliable clay minerals enhances the matrix compressibility, whereas inflexible brittle minerals exhibit resistance to matrix compression. There is a reduction in local fluctuations of pore volume across different pore sizes, an improvement in the autocorrelation of PSD, and a mitigation of nonuniformity after correction. Singular and dimension spectra have advantages in multifractal characterization. The left and right spectral width parameters of the singular spectrum emphasize the local differences between the high- and low-value pore volume areas, respectively, whereas the dimensional spectrum width is more suitable for reflecting the overall heterogeneity of the PSD.