Lacustrine fine-grained sedimentary rocks in the Dongying Sag of the Bohai Bay Basin in China exhibit significant potential for hydrocarbon exploration. This study investigates the lithofacies types and sedimentary evolution of the Paleogene Shahejie Formation’s lower third member (Es3l) and upper fourth member (Es4u), integrating petrological and geochemical analyses to explore the relationship between lithofacies characteristics and sedimentary environments. The results show that the fine-grained sedimentary rocks in the study area can be classified into 18 lithofacies, with seven principal ones, including organic-rich laminated carbonate fine-grained mixed sedimentary rock lithofacies and organic-rich laminated limestone lithofacies. In conjunction with analyses of vertical changes in geochemical proxies such as paleoclimate (e.g., CIA, Na/Al), paleoproductivity (e.g., Ba), paleosalinity (e.g., Sr/Ba), paleo-redox conditions (e.g., V/Sc, V/V + Ni), and terrigenous detrital influx (e.g., Al, Ti), five stages are delineated from bottom to top. These stages demonstrate a general transition from an arid to humid paleoclimate, a steady increase in paleoproductivity, a gradual decrease in paleosalinity, an overall reducing water body environment, and an increasing trend of terrestrial detrital input. This study demonstrates that the abundance of organic matter is primarily influenced by paleoproductivity and paleo-redox conditions. The variations in rock components are predominantly influenced by paleoclimate, and sedimentary structures are affected by the depth of the lake basin. Special depositional events, such as storm events in Stage II, have significantly impacted the abundance of organic matter, rock components, and sedimentary structures by disturbing the water column and disrupting the reducing conditions at the lake bottom. The present study offers crucial insights into the genesis mechanisms of continental lacustrine fine-grained sedimentary rocks, facilitates the prediction of lithofacies distribution, and advances the exploration of China’s shale oil resources in lacustrine environments.