Borehole instability problems are commonly encountered while drilling highly deviated and horizontal shale gas wells within the shale formations associated with high-dip bedding planes. An integrated rock mechanical study is described in this paper to evaluate the risk of the borehole instability problems in this area. First, a set of uniaxial compressive tests are carried out to measure the strength of the bedding shales on cores with different angles between the load direction and the bedding planes. A critical strength criterion is then proposed based on the test results. Next, the stress state of the borehole with arbitrary inclination and azimuth is determined through coordinate transformations. Finally, through combining the strength criterion and the stress state of the borehole, the risk of borehole instability is investigated for deviated and horizontal wells in shale formations with different bedding dips (0−90°) and dip directions (45° and 90° to the direction of minimum horizontal stress σh). The results show the dependence of borehole instability on the orientation of bedding planes of the formation as well as inclination and azimuth of the well. The most desirable borehole trajectory from the viewpoint of borehole stability is at the direction normal to the bedding planes. For a horizontal well specifically, if the bedding direction is perpendicular to the direction of σh, the risk of instability is relatively high for most drilling directions except drilling along the dip direction of the bedding planes. However, if there is a moderate acute angle (e.g., 45°) between the dip direction and the direction of σh, the risk of instability is relatively low for most drilling directions unless drilling along the direction of σh.