Research interest in the behavior of methane inside nanopores has been growing, driven by the substantial geological reserves of shale gas and coalbed methane. The phase diagram of methane in nanopores differs significantly from its bulk state, influencing its existing form and pertinent physical properties—such as density and viscosity—at specific pressures and temperatures. Currently, there is a lack of effort to understand the nanoconfinement effect on the methane phase diagram; this is a crucial issue that needs urgent attention before delving into other aspects of nanoconfined methane behavior. In this study, we establish a fully coupled model to predict the methane phase diagram across various scales. The model is based on vapor-liquid fugacity equilibrium, considering the shift in critical pressure and temperature induced by pore size shrinkage and adsorption-phase thickness. Notably, our proposed model incorporates the often-overlooked factor of capillary pressure, which is greatly amplified by nanoscale pore size and the presence of the adsorption phase. Additionally, we investigated the impact of surface wettability, correlated to capillary pressure and the shift in critical properties, on the methane phase diagram. Our results indicate that (a) as pore size decreases, the methane phase diagram becomes more vertical, suggesting a transition from a gaseous to a liquid state for some methane molecules, which is contrary to the conventional phase diagram; (b) enhancing surface wettability results in a more vertical phase diagram, with the minimum temperature corresponding to 0 MPa pressure on the phase diagram, increasing by as much as 87.3%; (c) the influence of capillary pressure on the phase diagram is more pronounced under strong wettability conditions compared to weak wettability, and the impact from the shift in critical properties can be neglected when the pore size exceeds 50 nm.