The gas flow inside the shale undergoes a complicated process from continuum-flow to Knudsen diffusion during combustion. In this study, a shale sample obtained from Shanxi province with burial depth of 643 m was combusted at a constant temperature to study the transient internal pressure variation. In the beginning, a cylinder-shaped shale was combusted above an electric heater at a constant temperature 450 °C. The transient internal pressures and surface temperatures of the shale sample were recorded every 15 s. With the thermal wave propagating from the electric heater to the top of shale, the shale surface temperature gradually increased. The pressure inside the sample was quickly built up because of the thermal cracking of kerogen. It reached a peak value of 12,000 Pa. Afterwards, the pressure gradually declined with the improvement of the permeability of the shale. By the observations during the experiment, a combustion model based on the scaling power law was used to simulate the transient internal pressure changes of a cylinder shaped shale sample during the combustion process. The simulated results showed a good agreement with experimental data. Based on the pressure variation data, it was found that not only the original trapped/storage gas (free state gas, adsorbed state gas, and dissolved state gas) but also the thermal cracking hydrocarbon gases produced from kerogen could be extracted from tight shale formation for gas recovery. Thus, combustion can further improve the production rate of gas from shale reservoirs.