How water saturation affects elastic properties is particularly important for analyses of gas shales in unconventional reservoirs, but experimental data in defined partially saturated conditions are rare. We show that the elastic moduli of a gas shale vary significantly with water saturation whereas the static anisotropy does not. A series of repeated hydrostatic compression were carried out on a gas shale specimen at various water saturation states to determine the elastic moduli (Ev\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${E}{\text{v}}$$\end{document} and Eh\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${E}{\text{h}}$$\end{document}) as a function of degree of saturation (Sr\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${S}{\text{r}}$$\end{document}). The elastic moduli were calculated from the reversible stress-strain curves after repeating confining pressure cycles. We found that, while water saturation increases, the elastic moduli peak at intermediate degree of saturation and then decreases to the minimum value at quasi-saturation. This evolution of the elastic moduli with degree of saturation may be explained by unifying two water retention mechanisms, adsorption and capillarity, that have overall competing effects on the stiffness. It is believed that adsorption softens the gas shale by reducing the friction of the load-bearing clay matrix, while capillary menisci stiffen the gas shale by providing stabilizing forces. The Young's modulus anisotropy (Eh/Ev\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${E}{\text{h}}/{E}_{\text{v}}$$\end{document}) did not show appreciable change with degree of saturation. Confining pressure seems to be a more important control on changes in the static anisotropy. Analyzing the volumetric behavior of gas shales in unconventional reservoirs should take into account the degree of saturation dependency. Extrapolating the experimental results to in-situ conditions must be done with great care.