Shale gas development can only be effectively carried out by multi-stage large-scale fracturing of horizontal wells, with high fluid volume, low flow back rate, and long flow-back cycle. A large amount of water stays in the reservoir for a long time to interact with the shale, and flows into the shale through the pores, natural micro-fractures and joints. Domestic and foreign research shows that water entering the shale can produce micro-fracture, but its mechanical mechanism is less studied. To address this issue, this paper first carried out experiments on self-absorption induced micro-fracture, analyzed the phenomenon of micro-fracture induced by shale water absorption. Then from the analysis of shale water absorption stress, the water absorption medium in the shale was simplified to an elliptical hole, establishing an elliptical hole edge stress model. Afterwards, the induced fracture initiation mechanical model was deduced on the basis of fracture initiation criteria. Finally, the influencing factors of the stress field at the edge of the elliptical hole and the induced fracture initiation pressure are analyzed. The results show that the tensile failure occurs in the direction of the long axis. The orientation of initiation is in the direction of the maximum principal stress. With the increase of length-width ratio, the initiation pressure decreases greatly. There is a positive linear correlation between initiation pressure and tensile strength. This result is consistent with the phenomenon observed by the previous experimental research, and has certain guiding significance for improving the volume of shale transformation by using self-absorption induced micro-fracturing mechanism.