Condensation is an important mechanism influencing the flow and accumulation of water in shales, which is important in many resource and environmental issues. This study presents a laboratory study on the capillary condensation process of water in the nanoscale pores of shales. Four borehole core samples of shale obtained from the Qaidam Basin, China, were used to perform the experiments. The water condensation experiments were performed at various degrees of relative humidity ranging from 65 to 95%. The condensation experiments indicated that relative humidity and pore diameter of shale are the two most important factors to control the water condensation. When the RH is 65%, the equilibrium water condensation amount of the four samples (S36, S49, S52, S65) is 0.001245 g/g, 0.000753 g/g, 0.007339 g/g, and 0.006993 g/g, respectively. When the RH is increased to 95%, the equilibrium water condensation amount of the four samples is 2.08, 2.70, 1.30, and 1.26 times of that of 65% relative humidity. In the beginning, the water condensation rate increased with the relative humidity and decreased gradually when the RH became higher than a critical relative humidity value, which had not been accurately determined but within the range of 90–100%. RH and pore diameter are the two most important factors to control the water condensation amount. The water condensation amount exhibited a correlation with the Kelvin Condensation Amount, which is defined as the calculated water condensation amount based on Kelvin equation and pore size distribution. According to the experimental data, we developed a mathematical model that described the exponential relationship between the Kelvin condensation amount and the water condensation amount. The total organic carbon content, clay content, and pore size were the dominant factors in the process of water condensation, while the quartz had little effect on the process.