Moisture-induced reduction in the strength of shales is one of the primary mechanisms of roof degradation affecting the stability and safety of underground coal mines. The underlying mechanisms of nanoscale matrix-water interactions remains unclear. Thus, an improved understanding of the nanopore structure, and dependent water adsorption and retention behavior of shale is key in defining strength degradation due to seasonal variations in humidity and temperature in underground coal mines. We use small-angle neutron scattering (SANS), low-pressure N-2 adsorption (LPNA), and high-pressure mercury intrusion porosimetry (MIP) to characterize the nanopore structure of a fireclay (7F) and four coal mine roof shales (6R, 5A, 6F, H6) from the Illinois basin. The results show that overall distributions of pore volume obtained from SANS, LPNA and MIP techniques agree well between methods and over a wide range of pore size from similar to 1 nm to similar to 100 nm. Mercury porosities for the five ordered (7F, 6R, 5A, 6F, H6) samples (7.3%, 7.8%, 8.3%, 12.3%, 4.6%) are higher than the respective N-2 porosities (5.0%, 6.3%, 3.8%, 8.2%, 2.5%), as attributed to the dilation of mesopores and compression of the grain skeleton induced by high pressure intrusion of mercury. The SANS porosities for samples 7F, 6R, 5A, 6F (4.0%, 6.2%, 4.1%, 8.8%) are in good agreement with their N-2 porosities. Among all tested samples, H6 shale exhibits a relatively high SANS porosity (8.0%) but the lowest N-2 (2.5%) and mercury porosities (4.6%). This is attributed to the interlayer micro-pore spaces within montmorillonite, which is detected by SANS but not by the two fluid penetration methods due to the inaccessibility of N-2 molecules and mercury. Based on LPNA, larger micropores (1.5-2 nm) and mesopores (2-50 nm) predominantly contribute to the total porosity (similar to 77.8%-87.6%) for the five tested samples. The water adsorption isotherms are measured by dynamic vapor sorption (DVS) and water retention curves are calculated based on the characterized pore size distribution (PSD) by LPNA and MIP techniques. Pore structures of the five studied samples evidently exert a strong influence on their water adsorption and retention behaviors. Water adsorption capacity correlates positively with total porosity/specific surface area (SSA), with a large proportion of micro/meso-pores resulting in the strong water retention capacity with matric suction reaching similar to 100-150 MPa for liquid saturation < 3%. Among the studied fireclay/shales, samples with higher retention capacity tend to adsorb more water. Thus, nanopore structure and its impact on water adsorption and retention behavior exert the key controls on shale-water interaction and its implication on strength reduction of roof shales in underground coal mines.