H2 storage in depleted shale presents significant potential for addressing large-scale H2 storage challenges. However, its feasibility and the mechanisms of H2 loss require further elucidation. In this study, a quartz-kerogen slit model was constructed to represent shale composite nanopores with mixed-wetting characteristics. The grand canonical Monte Carlo method was employed to investigate the adsorption behavior of H2 in both dry and water-bearing shale nanopores. This work reveals the microscopic mechanisms of H2 loss, including adsorption and dissolution losses. The simulation results indicate that although the interaction strength between H2 and shale is weak, the H2 absolute capacity in shale nanopores can be substantial. This is attributed to the small diameter, linear shape, and wide adsorption layer thickness of H2 molecules. In water-bearing shale nanopores, H2 adheres closely to the water film on the quartz surface, forming an adsorption layer with a thickness approximately three times the diameter of H2 molecules. Under high water-bearing conditions (26%), the H2 adsorption layer on the kerogen surface disappears. High moisture content and deep burial depth reduce the H2 adsorption loss rate. Although increased burial depth promotes H2 dissolution, the dissolution loss is minimal compared to adsorption loss. Therefore, depleted shale gas reservoirs with high moisture content and deep burial depth are more suitable for hydrogen storage. This study is the first to investigate H2 storage behaviors in water-bearing shale composite nanopores at the molecular scale. The findings provide a theoretical foundation for evaluating the feasibility of large-scale H2 storage and the risk of H2 loss in depleted shale reservoirs.