The exploration targets in the Kuqa Depression at present are mainly structure traps in Cretaceous-Tertiary. Due to the complexity of mountain distribution and reservoir forming conditions, the exploration of Jurassic in the eastern Kuqa Depression has been in a state of semi-stagnation since the discovery of the Yinan-2 gas reservoir. According to the concept and theory of “continuous petroleum reservoirs” and the re-analysis of the forming conditions of the Yinan-2 gas reservoir and regional natural gas in the eastern Kuqa Depression, it is believed that the deep Jurassic has good natural gas accumulation conditions as well as geological conditions for forming continuous tight gas reservoirs. The boundary of the Yinan-2 gas reservoir is not controlled by a structural spillpoint. The downdip part of the structure is dominated by gas, while the hanging wall of the fault is filled by water and forming obvious inverted gas and water. The gas reservoir has the normal temperature and ultra-high pressure which formed in the near source or inner-source. All of these characteristics indicate that the Yinan-2 gas reservoir is different from conventional gas reservoirs. The deep Jurassic in the eastern Kuqa Depression has multisets of source-reservoir-cap assemblages, which comprise interbedded sandstones and mudstones. These assemblages are characterized by a self-generation, self-preserving and self-coverage model. Reservoir sandstones and coal measure mudstones are interbedded with each other at a large scale. As the source rocks, Triassic-Jurassic coal measure mudstones distribute continuously at a large scale and can generate and expel hydrocarbon. Source rocks contact intimately with the overlying sandstone reservoirs. During the late stage of hydrocarbon expulsion, natural gas charged continuously and directly into the neighboring reservoirs. Petroleum migrated mainly in a vertical direction over short distances. With ultra-high pressure and strong charging intensity, natural gas accumulated continuously. Reservoirs are dominated by sandstones of braided delta facies. The sand bodies distribute continuously horizontal. With low porosity and low permeability, the reservoirs are featured by strong heterogeneity. It is hypothesized that the sandstones of the interior depression tend to be relatively tight with increasing depth and structure stress weakness. Thus, it is predicted that continuous tight gas reservoirs of ultra-high pressure may exist in the deep formations of the eastern and even the whole Kuqa Depression. So, it is worth evaluating the exploration potential.