The hydro-mechanical behaviour of shales is becoming one of the most important issues in modern geomechanics, largely driven by petroleum industries (i.e., the extraction of shale gas), the sequestration of CO2 and the nuclear waste geological storage. In any such application, a deep understanding of the hydro-mechanical behaviour of the involved materials is of primary significance. The water retention mechanisms play a major role in either fluid trapping due to the capillary forces present in low permeability formations or in the resaturation of shale formations after desaturation. The paper presents different experimental methodologies that have been developed by the authors for the analysis of the retention behaviour of shales. They involve the direct control of the shale water content and the subsequent measurement of the suction at equilibrium by a psychrometer. A fluid displacement technique with a non-polar liquid is then used to assess the volume changes and compute the degree of saturation. Selected test results are presented for two shales from the northern region of Switzerland.