Based on analyzing the distribution, thickness, total organic carbon content, degree of organic metamorphism of the shale of Turpan-Hami Basin, evaluating the formation of fractures and the capability of adsorbing gas in consideration of the mineral composition, and studying the conditions of shale gas accumulation by analyzing the distribution of cap rocks, the physical property of reservoir, and the data of gas surveying, the authors consider that the shales in Middle-Lower Permian Taodonggou Group and the Middle-Upper Triassic Xiaoquangou Group have the bigger thickness, higher brittle mineral content, higher degree of thermal evolution, and preferable situation of cap rock, thus probably being the potential horizons of shale gas exploration. The Taodonggou Group of Tainan depression, the north of Taiben depression and the northwest of Tuokexun depression and the Xiaoquangou Group shale of Sanbao depression are favorable areas for gas exploration.