Shale oil and gas are currently the major fields of unconventional hydrocarbon exploration and development. The Fengcheng Formation (FF) shale in the Mahu Sag of the Junggar Basin is an alkaline lacustrine organic-rich shale with an extremely prospective shale oil potential. However, its strong heterogeneity and complex pore structure greatly influence the development of shale oil. It is significant to investigate the pore and geochemical characteristics of shale reservoirs for shale oil extraction. In this study, the pore structure and geochemical characteristics of FF have been investigated using core analysis, Rock-Eval pyrolysis, X-ray diffraction (XRD), field-emission scanning electron microscopy (FE-SEM), mercury injection capillary pressure (MICP), low-temperature gas adsorption (LTGA), and X-ray computed tomography (X-ray CT). The results show that the shale of FF has moderate organic matter abundance, and the kerogen is mainly of Type II, which is now at the peak of oil generation. Shale minerals are mainly composed of carbonate (dolomite and calcite) and siliceous (quartz and feldspar) minerals, with extremely low clay mineral content. The pore types are mainly intergranular pores (inter-P), intragranular pores (intra-P), and microfractures associated with mineral particles. The pore space is contributed predominantly by micropores of 0.5–1.2 nm and mesopores of 10–50 nm, whereas macropores are underdeveloped. The pores are mostly ink bottle- and slit-shaped, and the pore connectivity is relatively poor. The pore development of shale in the FF is influenced by organic matter abundance, thermal maturity, mineral composition, etc. Organic matter content (TOC), thermal maturity (Ro), and carbonate minerals have a positive effect on pore development, and the pore volume (PV) increases with TOC, Ro, and carbonate minerals. While clay minerals show a negative effect, the PV decreases with clay minerals. Additionally, the influence of the clay mineral content on the pore morphology of shale should not be ignored. This study investigates the pore structure and geochemical characteristics of the alkaline lacustrine shale of FF in Mahu Sag, which is significant to deepen the understanding of alkaline lacustrine shale and to improve the production of shale oil.