The Yinchuan Graben is an important potential exploration area that is located on the western margin of the Ordos Basin. Over 8000 m of Cenozoic strata have been formed since the Cretaceous. With an integrated approach of cores observation, logging analysis, and geochemical analysis, we analyzed the characteristics of the Cenozoic source rocks in the Yinchuan Graben and determined the formation and destruction of the fossil oil reservoirs. With type III kerogen, the TOC of the dark mudstone in the Qingshuiying Formation is up to 7.5%, and the Ro is 0.95–1.04%, indicating the source rocks have entered the mature stage but the hydrocarbon generation potential is insufficient. A quantity of reservoir bitumen and oil-bearing fluid inclusions (GOI = 1.67–4%) were found in the Qingshuiying Formation sandstone in Well YQ-1, which indicates a fossil oil reservoir had existed. The fossil oil reservoir and reservoir bitumen were generated by the unexplored pre-Cenozoic strata in the Yinchuan Graben. The reservoir bitumen has high maturity and is associated with many fluid inclusions with a high homogenization temperature or CO2. This indicates that the bitumen was formed by the pyrolysis of the oil which was caused by the hot fluid migrating along with the deep fault belts.