Abstract: The development of shale gas benefited from high oil and gas prices.In this context, American shale gas companies expanded their production by borrowing heavily.During the period of high oil price, the high debt operation of shale gas industry was maintained.But with the decline of oil and gas prices, debt risk began to appear.Now, debt has become an important factor restricting the development of shale gas.This paper firstly quantifies the debt risk level based on Stine model and builds an investment return model,the actual operation data of 32 American shale gas listed companies are selected to analyze the investment returns of different types of shale gas companies under the debt risk level.The research found that at the present gas price.Large shale gas companies are more likely to survive.While, medium-sized companies face serious challenges and small companies will be easily eliminated.If the gas price remains unchanged for a long time, the market structure of shale gas industry is likely to shift from small and medium-sized companies to large companies.