The CO2 huff-and-puff method has been widely adopted for enhancing CH4 recovery in shale reservoirs. Revealing the behavior of CH4 adsorption/desorption in shale during the CO2 huff-and-puff process clarifies the recovery mechanisms of CH4 from shale reservoirs. In our work, the question of how CO2 plays a role in affecting the adsorption/desorption of CH4 is investigated using the low-field nuclear magnetic resonance technique. In addition, phase transition of CH, is also analyzed to investigate how the existing states of CH4 transform in shale during this process. Specifically, the states in which CH4 resides in shale are first recognized by analyzing the measured T-2 spectrum of shale after injecting CH4. CO2 huff-and-puff tests are then conducted to investigate how CO2 impacts the adsorption/desorption behavior of CH4 on shale samples. Furthermore, the T-2 signals of shale during depressurization are measured to investigate the state transformation of CH4 in shale during the CO2 huff-and-puff process. Test results show that three states are observed for CH4 storage in shale samples, that is, bulk CH4, free CH4 at the pore center, and adsorbed CH4 on the pore surface. After injecting CO2, the adsorbed CH4 will be desorbed from the shale surface, which thus increases the free CH4 at the pore center. During depressurization, the free CH4 is more readily produced from the shale samples, whereas the adsorbed CH4 is hard to be recovered; more advanced technology should thereby be proposed for enhancing the adsorbed CH4 from shale reservoirs. This work is expected to inspire new understanding of the mechanisms of CH4 recovery using CO2 huff-and-puff methods.