Shales are among the most commonly considered geomaterials in current energy-related geomechanical investigations, as they are involved in engineering applications such as the unconventional extraction of natural gas, CO2 sequestration and nuclear waste geological storage. A deep understanding of their behaviour with regard to variations in the degree of saturation is of primary significance for such applications. With the aim to establish a sound protocol for shale retention behaviour analysis, this paper presents an advanced experimental methodology that takes into account the specificities of shales such as small pore size dimensions and the large variations in water potential to be applied to induce significant changes in the degree of saturation. The technique that is presented here involves 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 also used to assess the volume changes of the shale and to compute the degree of saturation. Selected test results are presented for various shale samples that have been cored at different depths. The results indicate that important features of the retention behaviour of geomaterials are fundamental aspects to be considered when analysing the retention behaviour of shales, such as the existence of main wetting and drying paths, the hysteresis domain, and the dependency of the air entry value on the void ratio.