Geochemical data have been used as the most effective proxies for determining palaeoclimate and palaeoenvironmental conditions. In this article, we conduct a systematic review on a variety of geochemical data of sediments that are considered proxies for tracing palaeoclimate and palaeoenvironmental information. Comprehensive studies have been carried out on the palaeoproductivity, redox conditions, palaeoclimate, and the acquired data on the enrichment mechanism of organic matter have been summarized. The general mechanisms of the geochemical data regarded as the palaeoclimate and palaeoenvironmental archives include the characteristics of mineral composition, major and trace elements, and rare earth elements. The palaeoproductivity index, including the Ba and P, indicate that the organic‐rich shale was deposited in a high‐productivity water column. The trace elements revealed that the Longmaxi units recorded variable redox conditions from anoxic to aerobic. The elements V, U, Th, Ni, and Co together with the U/Th, V/Cr, Ni/Co, and V/(V + Ni) are essential indicators for defining the redox conditions. The NASC‐normalized REE + Y distribution indicates that the Longmaxi Formation was slightly altered by detrital materials in reduced and acidic environments. The Sr/Cu and MgO/CaO all reveal that the palaeoclimate was gradually transformed from humid to dry heat. The Sr/Ba ratio implies that the water depth fluctuates frequently at the early stage of sedimentation. All geochemical data integrated with the sedimentary characteristics show that anoxic conditions, high palaeoproductivity, and relatively humid palaeoclimates contributed to the accumulation of organic‐rich shale. We propose that jointly utilizing various geochemical and sedimentary indices can expand the outlook of the palaeoenvironment and provide a better understanding of the organic matter accumulation mechanisms.