Shale gas is a promising alternative energy due to the advantages of large reserves and high energy efficiency. The amount of adsorbed gas in shale nanopores is a significant reason that shale gas maintains long-term stable production. Molecular simulation is an important tool for analyzing the adsorption mechanisms and understanding the gas adsorption behavior on shales at the microscopic level intuitively and accurately. In this review, we briefly summarize the molecular models of shale inorganic minerals, organic matter and composite shale models with organic and inorganic regions. We also provide a comprehensive overview of shale gas adsorption and analyze in detail its microscopic mechanism on these molecular models. Finally, we discuss the existing challenges and perspectives to promote the future development of shale gas production. An accurate description of shale compositions and structures, as well as adsorbates, is crucial for molecular simulation of shale gas adsorption.