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It is called diagenesis. Diagenesis occurs in several stages. First, compaction happens as the particles are pressed together by the increasing weight of what is above. The size of the spaces between is reduced, and water is forced out. As new minerals fill in the remaining space, cementation occurs, and particles bind together. Further steps can occur later, if compression continues and the rock hardens further. The below link is a good source for more info.
Shale and siltstone have particles small enough to simply compact together by pressure. This pressure can come from overlying rock material.
Sanstone is a cemented rock usually stuck together by a solution from the surrounding environment.
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