Shale strata generally contain a certain amount of pore water that accompanies the whole diagenetic and thermal evolution processes of shales. The distribution and occurrence characteristics of pore water significantly influence the nanopore structures of shales, which subsequently affects the accumulation and production of shale oil and gas resources. Based on a set of fresh Wufeng–Longmaxi (WL) shale samples from the deep marine strata in the southern Sichuan Basin, this study investigated the effects of pore water on the pore heterogeneity of shales by a multifractal method. The results show that (1) the deep WL shales have low pore water content (CPW) and water saturation (SEW), with average values of 7.47 mg/g and 35.21%, respectively, and the CPW and SEW of the shales are mainly controlled by clay mineral content. (2) Under dried conditions, the pore heterogeneity of high-probability measure areas has negative relationships with the clay mineral content and pore volumes with pore widths of 4–10 nm, and the pore connectivity is mainly controlled by clay mineral content. Under as-received conditions, however, the pore heterogeneity of low-probability measure areas and pore connectivity have positive relationships with clay mineral content and pore volumes with pore widths less than 4 nm. (3) Under as-received conditions, the pore water mainly occupies the nanopore with pore widths less than 4 nm and reduces the effective pore spaces and connectivity, which reduces the pore heterogeneity of high-probability measure areas and enhances the pore heterogeneity of low-probability measure areas.