The compressibility of abnormal pressure gas reservoirs is hard to test, and the interpretation is confusing, leading to many misunderstandings in the current understanding of abnormal pressure gas reservoirs. In this research, a high-pressure experimental system was designed, and a series of high-pressure compressibility tests of pure water, nitrogen, and rocks under different water saturations were carried out. Then, the effective compressibility of gas reservoirs was calculated; the effect of water saturation on abnormal pressure gas reservoirs and the dynamic prediction was studied. The results show that the compressibilities of water and rock are effectively constant values over the range examined, while the compressibility of gas decreases exponentially with the increase in pressure. The effective compressibility of the stratum increases with the rise of water saturation. The theory of stress and strain of rock mechanics also shows that the rock compressibility is determined by Young’s modulus, Poisson’s ratio, and porosity and has no connection with the formation pressure. With the increase in water saturation, the swelling degree of the production indicator curve of the simulation experiment becomes larger and larger. After introducing the effective compressibility of the stratum into the gas–water material balance equation, the gas reserves predicted by the revised production indicator curve are the same as the original reserves. The research results have important guiding significance for the efficient development of gas reservoirs.