The study of water vapor adsorption (WVA) isotherms on shales is crucial to comprehend the adsorption–desorption behavior and deposit mechanism of water in shale pore systems. To systematically investigate the relationship between fractal dimension and WVA in shale reservoirs, a new Dent-fractal (DF) model was developed and the ability of different adsorption models to match with WVA experimental data was evaluated. The role of shale pore structure heterogeneity controlling the amount of WVA is also discussed. The results indicate that WVA on shale involves the monolayer–multilayer adsorption and capillary condensation. On the one hand, the GAB and Dent and DF models were found to be the best models for fitting and predicting WVA isotherms in Longmaxi shale. On the other hand, the DLP and DS models had the worst fitting qualities for WVA adsorption data. The pore structure of micropores has a more significant effect on WVA adsorption than that of meso-macropores. The larger surface and pore volume of micropores can provide more adsorption sites and space, which is favorable for WVA. In low-Rh conditions, the higher surface area, the pore surface complexity rises, resulting in higher water vapor monolayer adsorption. Under high-Rh conditions, for shale reservoirs with a highly heterogeneous pore structure, the relationship between the heterogeneous pore structure of the shale and the amount of water adsorbed in multiple layers is not obvious due to the formation of clusters of water molecules.