Although Jurassic continental black shale within the Southwestern Depression of Tarim Basin (SDT) have received renewed attention during the past few years due to their potential to be prospected for shale gas, studies on shale characteristics remain rare. In this study, 31 black shale core samples were collected from a well (Buya‐1) drilled recently in the Hetian Sag of the southern SDT, and their geochemical, petrographical, mineralogical, petrophysical, and pore structural characteristics were determined through a series of tests. The results indicate that the black shale has high and variable total organic carbon (TOC) contents ranging between 0.1% and 17.0% (average 3.2%), is dominated by Type III kerogen (gas‐prone), and is in a mature to high‐mature stage. The shale is mainly composed of quartz, clay, and feldspar with mean contents of 40.0% (range = 15.0–72.0%), 51.0% (range = 25–77%), and 5.5% (range = 1–13.0%), respectively. The pore spaces are composed of primary pores, secondary pores, and microfractures. The mean sorbed gas content of the shale is approximately 2.4 m3/t, and the TOC is significantly positively and linearly correlated with the adsorbed gas capacity. The results show that the Jurassic continental shale in the SDT is very favourable for the formation of a large shale gas play, and the middle segment of the Jurassic shale is the most favourable target layer for shale gas exploration due to its greater gas generation capacity, higher mineralogical brittleness, larger gas storage space, and greater gas sorption capacity. This study is significant in guiding subsequent shale gas exploration and development in the Jurassic, SDT, and also is a reference for identifying favourable exploration targets of shale gas resource in other continental basins.