Identifying shale geological temperatures is important for understanding the thermal maturity, thermal evolutionary history, and hydrocarbon generation stages of shale formations, and enables efficient shale gas development. This paper investigates the thermal Kaiser effect of shales under different warming rates by studying the thermoacoustic emission (TAE) characteristics of shales in the Lower Palaeozoic Niutitang Formation in the Micangshan area of China. The developmental evolution and microscopic response mechanisms of different types of fractures in shales under high-temperature conditions are explored by combining acoustic emission (AE) characteristic parameters. The memory and sensitivity of the thermal Kaiser effect were also verified by thermal fatigue tests. The results show that there is a significant thermal Kaiser effect during the heating of shale and that its threshold temperature is approximately 180 °C, which is consistent with the palaeotemperatures based on bitumen reflectance (Rb) estimation. The heating rate does not have a significant effect on the threshold temperature. At high temperatures, the shale is dominated by small-scale tensile fractures. When the shale is heated to 300 °C, the organic matter reaction rate peaks and the proportion of shear cracks begins to increase. An increase in heating rate is beneficial to the development of large-scale tensile cracks, while inorganic minerals begin to expand due to heat and micro-cracks gradually expand and connect, thus improving the connectivity of the pore channels. In thermal fatigue tests, the shale retains its memory of the threshold temperature when heated to less than 300 °C. Above 300 °C, pyrolysis of organic matter and microcrack expansion interfere with the thermal Kaiser effect, causing the shale to lose its memory of the maximum temperature. Within the same cycle stage, the threshold temperature is significantly higher at high heating rates than at low ones, especially above 400 °C.