The development of shale gas wells involves numerous geological and engineering parameters. Due to the low permeability of shale reservoir and the complex two-phase flow of gas and liquid in the wells, the pressure build-up test curves of shale gas wells exhibit complex characteristics, with abnormal changes in pressure occurring frequently, accounting for over 80%. Analysis of the pressure build-up test curves reveals a common “hump” phenomenon in the early stage, while the mid to late stage mainly shows changes in slope. Combining wellbore parameters and temperature changes, the study suggests that the phase separation of gas and liquid caused by fluid movement within the wellbore is the fundamental cause of pressure anomalies. The trajectory shape of horizontal wells has a significant impact on pressure anomalies. Based on the shape of the anomaly curves, the timing of the anomalies, and their causes, pressure anomalies are categorized into five types. Different types of curve characteristics are summarized, and the impact of various types of pressure anomalies on testing analysis is clarified, along with solutions. After eliminating the influence of abnormal pressure phenomena, well testing interpretation was conducted using the Horizontal Well Multi-Stage Fracturing model and the Finite Conductivity Fracture model. By integrating reservoir parameters obtained from different model interpretations, a calculation method for the permeability characterization index JIA was established. This index shows a significant correlation with the EUR of the well; the stronger the permeability, the higher the EUR.