Continental shale gas reservoirs with abundant clay content are prone to absorb water and clay swelling occurs during water-based fracturing, which reduces the permeability of the dual-pore medium of shale and hamper the shale gas exploitation. Consequently, studying the feasibility of nonaqueous fracturing for water-sensitive shale gas reservoirs is necessary. Comparative tests between CO₂ fracturing and water fracturing were conducted using continental shale and tight sandstone samples to reveal the fracture initiation and propagation mechanism of CO₂ fracturing. Results show that the breakdown pressure of CO₂ fracturing is around 60% of that of water fracturing. Abundant soft bedding of shale weakens the influence of the maximum principal stress on the fracture propagation, leading to the presence of shear fractures along the soft bedding. High leak off of CO₂ with low viscosity leads to increased pore pressure around the drilling hole and the reduction of effective stress at the matrix defect and weak bedding, which is conducive to the expansion of crack tip, thus forming the rough fracture surface. It can be seen that CO₂ fracturing is suitable for the stimulation of shale gas reservoirs with ultralow permeability, and the research results are helpful for the field fracturing construction and parameter optimization of water-sensitive continental shale gas reservoirs.