Unconventional natural gas, including coalbed methane and shale gas, has become important natural gas resources. Coal and shale reservoirs are characterised by low porosity and low permeability and difficult for gas production. These reservoirs are also considered as fractured reservoirs, i.e. the natural fracture/cleat system in coals and bedding direction microfractures in shales. Permeabilities of these reservoirs are sensitive to stress change. During gas production, the pressure drawdown significantly increases effective stress, and thus decreases the absolute permeability. The relationship between permeability and stress is characterised by fracture compressibility, which is difficult and costly to be obtained from the field, but can be acquired easily from laboratory measurement. In this review article, the laboratory methods to obtain fracture compressibility were reviewed. Literature data on fracture compressibility for coals and shales were collated and the relationships between fracture compressibility and pressure, stress and rock properties were discussed. It is found that fracture compressibility is higher for coals than for shales, and the fracture compressibility for proppant supported fracture is even lower than that for the same shale or coal. Moreover, fracture compressibility is variable depending on gas type, gas pressure, and stress. Fracture compressibility has no correlation with absolute permeability in general, but has a weak positive correlation for the same sample.