During shale gas exploration, natural fractures in shale reservoirs may be induced by cyclic loads frequently encountered in different geological processes, including tectonic movements, seismic actions, and artificial construction interference (vertical and horizontal wells drilling and cyclic hydraulic fracturing). In this paper, experiments and PFC2D simulations are conducted to investigate the mechanical response and mechanism of shale specimens under cyclic loading and unloading. Using the experimental and simulation results, the strength and deformation characteristics and strain energy and damage evolutions during the cyclic loading-unloading process are quantified and analyzed. The damage variable characterized by plastic deformation, deformation modulus, and dissipated energy is thoroughly analyzed. Based on the PFC2D simulation, the micro-crack distribution and evolution are further studied, and the results can reflect the experiments well and reveal the damage mechanism under cyclic loading. Furthermore, the experiments and simulations indicate that the degree of fatigue damage is closely related to the number of cycles the specimens undergo, and a small number of cycles may not have a distinct effect on the strength.