Shale hydraulic fracturing is the main technology in unconventional resource rupture. Shale contains distributed directional bedding planes, which make the shale transverse isotropic. This bedding effect has considerable influence on the hydraulic fracture propagation. To simulate the hydraulic fracture in shale with consideration of bedding effect, the fully hydro-mechanical coupled equation of interface element is derived for the bedding plane-embedded cohesive finite element method(CFEM). With this CFEM method, the hydraulic fracturing process of shale is simulated. It is shown that the simulated results well agree with the experimental ones. The bedding planes have significant influence on the fracture trajectory. When using this method, the cohesive elements that are parallel or almost parallel to the bedding plane are automatically transformed into bedding elements. Moreover, no external fracture criterion is needed and no mesh modification is involved. So, this method provides an alternative approach to hydraulic fracture simulation in shale.