The invention relates to a method and a system for improving recovery efficiency of a shale gas well. The method includes that paving pipelines; filling high-pressure CO2 into the pipeline in a horizontal well, enabling the high-pressure air to knock to form a series of high-pressure air pulse vibration to puncture the hollow pipe wall and horizontal well wall, and forming a primary seam in a shale layer; pressing liquid CO2 to the primary seam position of the shale layer through the pipeline, heating the rock at the primary seam position of the shale layer, and enabling the liquid CO2 to change phase to vaporize quickly to generate a series of high-pressure air pulse vibration to crack the primary seam in the shale layer again; dividing the pipeline in the horizontal well into several segments through a plurality of dividers, and using said method to produce seams segment by segment for the shale layer segments corresponding to the pipeline segments. According to the method for improving the recovery efficiency of the shale gas well, by means of the CO2 phase change mode, the crack degree of the shale layer is effectively improved, and the recovery efficiency of the shale gas well is improved.