Drilling and exploitation of the gas shale is just in an initial stage in China. Drilling practice shows that drilling accidents are frequent, and major cause is wellbore instability. From the experience of the shale-gas drilling in North America, and the casing programs in Sichuan Basin and Haynesville, it is shown that the drilling accidents can be reduced by the decrease of the size of the borehole. Based on the size effect theory, the advantages and disadvantages of different size effect models are compared. The Vutukuri's model is chosen to analyze the micro-borehole surrounding rock strength and the Mclamore's anisotropic failure prediction model is adopted to demonstrate the strength anisotropy of the shale. Based on the collapse pressure prediction model, the collapse pressure of a normal borehole and a micro-borehole in the bedding formations are calculated, respectively, furthermore, the trajectory sensitivity analysis is also conducted. The collapse pressure changes with the well declination are also considered. Comparing the difference between the two sides, it is shown that the micro-borehole can significantly reduce the collapse pressure by approximately 10%, therefore reduce the shale-gas drilling accidents.