Water-softening effect has been widely recognized as one of the primary causes triggering large deformation and failure in soft-rock engineering; however, there is still a lack of a full-stage constitutive model for rock considering the water-softening effect and non-linear deformation characteristics at the compaction stage under triaxial stress conditions at present. In this paper, laboratory tests are firstly carried out to estimate the deterioration characteristics of mechanical properties with increase of saturation coefficient for shale samples. And then, a full-stage constitutive model of shale subjected to water-softening effect is proposed, which consists of the pre-yield and the post-yield constitutive relationships. The pre-yield constitutive relationships could well describe the non-linear deformation characteristics of compaction stage, which are derived based on the generalized Hooke’s law considering water-softening effect under anisotropic stress conditions. On the other hand, by introducing correction coefficients to solve the problem of numerical discontinuity at the yield point of the pre-yield and the post-yield constitutive relationships, the post-yield constitutive relationships are derived on the basis of the statistical damage mechanics theory. The comparison results with the experimental data show that the proposed model could well characterize the full-stage stress–strain relationship for shale under triaxial loading considering the water-softening effect.