The shortest confidence interval of parameter of Gamma distribution is in practice a question of conditional extremum. It can be transferred to a group of equations that can be solved by a method of numerical value. Assume β=1, and confidence level is 0.95, the length of normal confidence interval is compared to the length of shortest confidence interval, the results show: both absolute difference d(n) and relative difference e(n) are decreased by the increasing sample number n, when n≤9, e(n)≥10%. So it is necessary to research the shortest confidence interval of parameter for small samples.