The effect of various depositional parameters including paleoclimate, paleosalinity and provenance, on the depositional mechanism of lacustrine shale is very important in reconstructing the depositional environment. The classification of shale lithofacies and the interpretation of shale depositional environment are key features used in shale oil and gas exploration and development activity. The lower 3rd member of the Eocene Shahejie Formation (Es3x shale) was selected for this study, as one of the main prospective intervals for shale oil exploration and development in the intracratonic Bohai Bay Basin. Mineralogically, it is composed of quartz (avg. 9.6%), calcite (avg. 58.5%), dolomite (avg. 7%), pyrite (avg. 3.3%) and clay minerals (avg. 20%). An advanced methodology (thin-section petrography, total organic carbon and total organic sulfur contents analysis, X-ray diffraction (XRD), X-ray fluorescence (XRF), field-emission scanning electron microscopy (FE-SEM)) was adopted to establish shale lithofacies and to interpret the depositional environment in the lacustrine basin. Six different types of lithofacies were recognized, based on mineral composition, total organic carbon (TOC) content and sedimentary structures. Various inorganic geochemical proxies (Rb/Sr, Ca/(Ca + Fe), Ti/Al, Al/Ca, Al/Ti, Zr/Rb) have been used to interpret and screen variations in depositional environmental parameters during the deposition of the Es3x shale. The experimental results indicate that the environment during the deposition of the Es3x shale was warm and humid with heightened salinities, moderate to limited detrital input, higher paleohydrodynamic settings and strong oxygen deficient (reducing) conditions. A comprehensive depositional model of the lacustrine shale was developed. The interpretations deduced from this research work are expected to not only expand the knowledge of shale lithofacies classification for lacustrine fine-grained rocks, but can also offer a theoretical foundation for lacustrine shale oil exploration and development.