This work presents the adsorption behavior and appearance characteristics of CH₄ and CO₂ on the Longmaxi shale at high pressure and temperature. To investigate the variation of gas adsorption patterns under the constraint of pressure and temperature, the applicability of the theories of monolayer adsorption, multilayer adsorption, and micropore filling was discussed. The preferential selection coefficient of CO₂ for CH₄ under different conditions was characterized by the absolute adsorption capacity (V_abs) ratio of CO₂ to CH₄ (αCO₂/CH₄). Moreover, the implication of the CO₂ injection to enhance gas recovery and the CO₂ capture and storage (EGR–CCS) process was analyzed. The results exhibit that the excess adsorption curves of CH₄ are smooth, and the experimental temperature has no noticeable effect on the shape of curves. At the same time, a “sharp peak” is recorded in the excess adsorption curves of CO₂ at low temperatures (30 and 55 °C) near the critical pressure, which is quite distinct from the smooth curves at high temperatures (80 and 100 °C). Correspondingly, there are two “jump pressure” values in the density curves (30 and 55 °C) of the adsorption system and the density curves are divided into three stages. The Dubinin–Astakhov and Brunauer–Emmett–Teller (BET) models show an optimum degree of fit for CH₄ and CO₂ adsorption curves under all experimental temperature and pressure conditions. The Langmuir model fits the adsorption curves of 80 and 100 °C better, while the BET model is appropriate for 30 and 55 °C. The adsorption affinity of CO₂ is higher than CH₄, with the value of αCO₂/CH₄ in the range of 2.47–12.16. The value of αCO₂/CH₄ increases with a rise in pressure but is inhibited by high temperatures, while the inhibition is negligible when the experimental temperature exceeds 80 °C. The adsorption preferential of CO₂ is stronger in the shallow reservoir (αCO₂/CH₄ > 10.5), and the application prospect of the EGR process is promising. In contrast, the adsorption preferential is slightly weakened in the deep reservoir (αCO₂/CH₄ < 4.5), which can be considered for CO₂ capture, utilization, and storage. Results from this investigation provide novel insights on the adsorption characteristics of CH₄ and CO₂ on the shale matrix at high pressure and temperature. They are also expected to give certain enlightenment for the EGR–CCS process.