Petrophysical data facilitates detailed multi-disciplined analysis and insights to characterize shale formations and determine their suitability for producing gas and/or oil on a commercial basis or gas storage reservoir exploitation. Mercury injection capillary pressure (MICP) and low-pressure gas adsorption (LPGA) with nitrogen (N2) and carbon dioxide (CO2), evaluate shale’ pore-size distribution at the meso- and nano-scales. This enables the determination of pore throat and fractal dimensions, surface roughness, lacunarity, soccularity, capillary pressure and relative permeability that quantify heterogeneity and anisotropy within shale formations. Integration of MICP and nuclear magnetic resonance (NMR) pore size characteristics more comprehensively evaluates the nano-, meso- and macro-scale pore distributions. Combining MICP, NMR and LPGA analysis with field emission scanning electron microscopy (FESEM) and small-angle-neutron scattering (SANS)/small-angle-X-ray scattering (SAXS) techniques provide more insight to nano-scale shale heterogeneities. Rock–Eval pyrolysis combined with LPGA, FESEM and optical microscopy can determine how the pore-size distribution varies with a shale’s thermal maturity, type and distribution of organic matter and clay mineral content. Radar diagrams assist in the visualization of multi-dimensional characterization studies involving several shale formations. This chapter provides details of recent advancements in the execution and interpretation of the multi-scale methods described.