Abstract: Connate water strongly restricts shale gas enrichment and production, and most artificially injected water is confined in shale pore networks owing to low water recovery during hydraulic fracturing, which leads to a more complex pore water distribution. However, previous studies have focused on the water vapor sorption of gas shales rather than liquid pore water. This study clarifies the occurrence and distribution of pore water and the controlling factors by conducting thermogravimetry (TGA) under liquid water saturation and water vapor sorption experiments on four gas shales from the Wufeng Formation in South China. Nuclear magnetic resonance (NMR) T2 and T1–T2 technologies were used to monitor the dynamic changes and states of moisture, and the microscopic pore structures during water vapor sorption were detected using low-temperature nitrogen adsorption-desorption. The results indicate that TGA is adequate for determining the adsorbed, bound, and movable water contents. These four gas shales are characterized by high adsorbed and movable water contents, and some bound water. The adsorbed water primarily occurs in tiny pores (<100 nm), controlled by organic matter, followed by clay minerals. The movable water, typically associated with quartz, primarily exists in pores of >100 nm, particularly macropores of >1,000 nm. The bound water predominantly correlates with pores ranging from 10 to 2,000 nm in clay minerals. The water vapor sorption process of the gas shale is well clarified. Water molecules primarily adsorb on the clay mineral’s hydrophilic surface, followed by oxygen functional groups in the organic matter. Therefore, clay minerals control water vapor sorption at low relative humidity (RH < 0.75), whereas organic matter primarily affects vapor sorption at high RH. The TGA of liquid water-saturated gas shales can clarify the water distributions in full-scale pore networks, whereas the water vapor sorption method primarily discloses the moisture in small nanopores (<100 nm) but ignores most bound and movable water. This paper provides insight into liquid water distribution and occurrence states within shale pore networks, contributing to a better understanding of gas–water–rock interaction systems in-situ and hydraulic fracturing shale gas formations.