Wellbore collapse frequently happens in the clay shale formation. To maintain wellbore stability, appropriate mud pressure is a vital factor. When clay formation is opened, drilling unloading occurs, modifying rock structure and strength at the wall of borehole, which affects the selection of mud pressure. Currently, mechanism of drilling unloading is still poorly understood which in return will bring a concern to wellbore stability. Therefore, in this study, a combination of triaxial compressive test and ultrasonic wave test has been used to simulate drilling unloading and analyze its mechanism. Results indicate that more void space is created inside the clay shale sample due to unloading. This structure change leads to a decline of strength and acoustic amplitude. Additionally, unloading influence is depended on varying drilling unloading parameters. Small unloading range and fast unloading rate are able to enhance stability. With various degrees of unloading impact, collapse pressure equivalent density has a clear modification, proving that unloading is a non-negligible influencing factor of wellbore stability. Besides, the unloading effect is much stronger in large confining pressure, implying that more attention should be given to unloading when drilling is in extreme deep or high geostress formation. Findings in this paper can offer theoretical guidance for drilling in the clay shale formation.