Shale gas is an unconventional gas resource produced from hydrocarbon rich shale, the investigation and evaluation of resource reserves mainly rely on drilling technology. Shale has strong water sensitivity, collapse and spalling often happen, which cause wall instability of diameter shrinkage and oversize in shale gas exploration drilling construction. Based on the technical requirements of shale gas drilling, the selection, design and optimization are made in drilling equipments, wellbore structure, drilling parameters, drilling tool assembly, drilling fluid, deviation control and accident prevention. Yanjin well 1-2 is successfully completed with the final depth of 1554.06m and becomes the deepest well in Yunnan shale gas resource investigation construction. This paper summed up the experience and existing problems in the well construction.