Shadow Pokémon are abandoned by members of Team GO Rocket after you’ve defeated them in battle, giving you a chance to encounter and catch them. 
 
 
For Shadow Pokémon, Powering Up and unlocking a second Charged Attack requires more Candy and Stardust than for regular Pokémon.

Shadow Pokémon also deal more damage with their Fast and Charged Attacks, but they take more damage when attacked. The extra damage dealt by Shadow Pokémon is shown as a “Shadow Bonus” next to their attacks on their summary page, just like Weather Boosts

 
Frustration is a Charged Attack that all Shadow Pokémon know when they’re caught. Frustration cannot be unlearned with a TM until you’ve purified the Shadow Pokémon, except during special events. Keep an eye on our official blog to learn about upcoming in-game and live Pokémon GO events. 

Purified Pokémon

You can Purify Shadow Pokémon with a combination of Stardust and Candy. Purifying a Shadow Pokémon will improve their appraisal and reduce the amount of Stardust and Candy required for them to Power Up, Evolve, or learn a new attack.
 

When Purified, a Shadow Pokémon will forget Frustration and learn Return, a Charged Attack that’s exclusive to Purified Pokémon. Unlike Frustration, Return can be unlearned at any time with use of a Charged TM. 
 
Note: Pokémon will always learn Return when Purified, even if you used a TM to unlearn Frustration while they were Shadow Pokémon.