To improve the heating efficiency of the downhole electric heaters used in oil shale exploitation, double-shell downhole electric heaters with continuous helical baffles (DS-DEHs) were developed in this study. These heaters reduce heat loss generated by the shell of single-shell downhole electric heaters with continuous helical baffles (SS-DEHs) and reuse the heat loss by driving air flows through outer and inner shell-passes in sequence. Two types of DS-DEHs with three different helical pitches were experimentally studied, and SS-DEHs were set as the control. The results indicated that the effect of mass flow rate on the heating rate is greater than that of heating power. Forced convection is the major heat transfer mode in heater shell-side, and the contribution of shell-side radiant heat transfer mainly depends on the helical pitch, then on the heating power and mass flow rate. Additionally, the heat loss generated by heater shell is mainly dissipated in the form of radiation. The total heat loss of the DS-DEH is 87.16%–96.41% lower than that of the SS-DEH, and its heating efficiency is 1.06–1.17 times than that of SS-DEH, indicating that the double-shell structure can effectively improve the heating efficiency of downhole electric heaters.