In this presented work, by freeze-thaw test for three groups of shale ceramsite concrete with different mix proportion, the experimental results show: the shale ceramsite concrete has preferable frost resistance property. After 100 times freeze-thaw cycles, its loss in weight and strength is very small; the frost resistance increases as ceramsite pre-wetting time is raised, and with the increasing of the water cement ratio, the frost resistance declines. The statement that ceramsite pre-wetting treatment is detrimental to frost resistance still deserves discussion, as it depends on the pore structure, water absorption characteristic and concrete air content of ceramsite itself. Meanwhile, freeze-thaw mechanism of the shale ceramsite concrete was analyzed in this paper. The study results provide some reference for other studies.