As an alternative to water-based fracturing (WBF), CO2-based fracturing (CBF) with many unique advantages has been successfully used to enhance unconventional gas production. However, the study on the great difference of fracturing behaviours between WBF and CBF for different gas reservoirs is still scarce. The intention of this study is to investigate the fracturing mechanism and to compare the fracture geometry characters between WBF and CBF. A series of fracturing tests on sedimentary rocks, including siltstone and shale samples, was therefore conducted. According to experimental results, the breakdown pressure of CBF is lower than that of WBF for siltstone samples with permeability of 2.5 µD, and the difference of breakdown pressure between WBF and CBF for shale samples with permeability of 0.05 µD is much greater. In addition to the effect of higher tensile strength of shale rock, the much higher breakdown pressure for shale samples than siltstone samples indicates that the flow behaviour of injected fluid significantly influences the initiation of fractures and that high pore pressure within rock matrix can greatly decrease the breakdown pressure. The presence of macro pores in several hundred microns is responsible for the very rough fracture surfaces of siltstone samples, while much more smooth fracture surfaces are observed for shale samples with much tiny pore structures. CBF creates more loose particles and discrete blocks acting like proppants, and fracture aperture of CBF is 2–5 times of that of WBF. Multi-parallel fractures and bigger discrete blocks contribute to the low fracture compressibility, and the secondary shear fractures along the weak bedding planes in shale samples greatly increase the complexity of the fracture network.