Micro-fracturing of the wells before preheating circulation phase can shorten the circulating preheating cycle and improve the propagation of steam chamber in SAGD (Steam Assisted Gravity Drainage) development. Injecting water to the immobile ultra-heavy oil sand reservoir during micro-fracturing phase will cause shear dilation and tensile parting dilation of the framework, which lead to volumetric expansion and increase in compressibility. A larger magnitude in coefficient of compressibility implies a greater volumetric dilation and an improved injectivity. In view of the built-in problems associated the definition, calculation and testing methods related to the compressibility under water injection, the core samples obtained from Middle Jurassic Qigu Formation of Xinjiang Junggar Basin were investigated. In this study, the volume compression/expansion tests were designed to study the compression mechanisms during micro-fracturing phase, based on which the volume change behavior under various pressure and temperature circumstances was investigated. It is revealed that the compressibility of oil sand under shear increases with increasing mean effective stress before softening, but displays an opposite trend after softening. Furthermore, the compressibility under shear dilation increases with decreasing effective confining pressure and temperature, as well as increasing uniaxial strain. The tensile dilation tests revealed that the compressibility is in inverse proportion to the mean effective pressure or temperature. The findings of this study can be used to estimate the injectivity of the reservoir for implementation of micro-fracturing in the field.