Shale oil, as one of the unconventional resources, has become increasingly important to supplement conventional oil and gas. Although CO2 has great potential to enhance shale oil recovery by the huff and puff method, the experimental results show that the enhanced values of shale oil recovery are unstable and have great fluctuations for different cores. In order to increase the stability of CO2 huff and puff and further enhance oil recovery, cosolvents such as ethanol, isopropanol, ethyl acetate, and acetone were chosen to construct CO2/cosolvent mixed fluids and the experiments of huff and puff by the mixed fluids were carried out. The results show that CO2/cosolvents can enhance the shale oil recoveries of the matrix and fracture. CO2/ethanol has the highest oil recovery among the mixed fluids. In particular, for cycles 2 and 3 in the huff and puff process, CO2/ethanol has a much larger oil recovery than CO2. Moreover, the effects of ethanol concentration in the mixed fluids on the enhanced shale oil recovery were investigated. The enhanced oil recoveries by CO2/ethanol mixed fluids increase with the increase of ethanol concentration. Furthermore, the mechanisms to enhance shale oil recovery by CO2/cosolvent fluids were discussed by measurements of the pressure decay process and interfacial tension. The presence of ethanol can not only accelerate the transfer of CO2 to the oil phase in the porous media during the huff process, to make more CO2 transfer into the oil phase, but also decrease the interfacial tension between oil and CO2 as well as the minimum miscibility pressure, to make oil and CO2 mixed fluids have a longer time to flow out in one phase than CO2 in the puff process. Therefore, the CO2/cosolvent mixed fluids, especially CO2/ethanol, can be used to further enhance shale oil recovery during the huff and puff process.