As a new “sink” of CO2 permanent storage, the depleted shale reservoir is very promising compared to the deep saline aquifer. To provide a greater understanding of the benefits of CO2 storage in a shale reservoir, a comparative study is conducted by establishing the full-mechanism model, including the hydrodynamic trapping, adsorption trapping, residual trapping, solubility trapping as well as the mineral trapping corresponding to the typical shale and deep saline aquifer parameters from the Ordos basin in China. The results show that CO2 storage in the depleted shale reservoir has merits in storage safety by trapping more CO2 in stable immobile phase due to adsorption and having gentler and ephemeral pressure perturbation responding to CO2 injection. The effect of various CO2 injection schemes, namely the high-speed continuous injection, low-speed continuous injection, huff-n-puff injection and water alternative injection, on the phase transformation of CO2 in a shale reservoir and CO2-injection-induced perturbations in formation pressure are also examined. With the aim of increasing the fraction of immobile CO2 while maintaining a safe pressure-perturbation, it is shown that an intermittent injection procedure with multiple slugs of hug-n-puff injection can be employed and within the allowable range of pressure increase, and the CO2 injection rate can be maximized to increase the CO2 storage capacity and security in shale reservoir.