Researches into shale lithofacies, their sedimentary environments and relationship benefit understanding both of sedimentary cycle division and unconventional hydrocarbon exploration in lacustrine basins. Based on a 100~300-m-thick dark shale, mudstone and limestone encountered in the lower third member of the Eocene Shahejie Formation (Es3l member) in Zhanhua Sag, Bohai Bay Basin, eastern China, routine core analysis, thin sectioning, scanning electron microscopy (SEM), mineralogical and geochemical measurements were used to understand detailed facies characterization and paleoclimate in the member. This Es3l shale sediment includes three sedimentary cycles (C3, C2 and C1), from bottom to top, with complex sedimentary characters and spatial distribution. In terms of the composition, texture, bedding and thickness, six lithofacies are recognized in this succession. Some geochemical parameters, such as trace elements (Sr/Ba, Na/Al, V/Ni, V/(V + Ni), U/Th), carbon and oxygen isotopes (δ18O, δ13C), and total organic carbon content (TOC) indicate that the shales were deposited in a deep to semi-deep lake, with the water column being salty, stratified, enclosed and reductive. During cycles C3 and C2 of the middle-lower sections, the climate was arid, and the water was salty and stratified. Laminated and laminar mudstone–limestone was deposited with moderate organic matter (average TOC 1.8%) and good reservoir quality (average porosity 6.5%), which can be regarded as favorable reservoir. During the C1 cycle, a large amount of organic matter was input from outside the basin and this led to high productivity with a more humid climate. Massive calcareous mudstone was deposited, and this is characterized by high TOC (average 3.6%) and moderate porosity (average 4%), and provides favorable source rocks.