Cryogenic non-aqueous fracturing has attracted extensive attention due to its thermal shock and freezing effects. In this paper, a novel low temperature mechanics experiment (20 ~ −196 °C) is conducted for shales under cryogenic fluid nitrogen (CF-N2) immersion. Experimental results show that the cooling treatment will enhance the mechanical properties of shale and bring about obvious brittleness failure characteristics. A specific manifestation is that the shale stress-strain curves at low temperatures demonstrate higher peak strength, greater Young's modulus, enhanced yield modulus, faster stress drop and lower residual stress. The relationship between the uniaxial compressive strength and Young's modulus of shale and the freezing temperature is established. A more interesting finding is that elastic strengthening phenomenon instead of yield phenomenon occurs with decreasing freezing temperature. To reveal the change of shale brittleness under CF-N2 cooling, a universal brittleness evaluation model considering the pre- and post-peak deformation characteristics is developed. The evolution of shale brittleness with freezing temperature is obtained. In general, shale brittleness increases with decreasing freezing temperature. The consistency between the brittleness index and the fragmentation fractal dimension at different freezing temperatures verifies the validity of the proposed brittleness evaluation model. Research results indicate that liquid nitrogen, as a new type of cryogenic waterless fracturing fluid, has the potential to improve shale brittleness.