Continental shale in China is a key exploration target with regard to unconventional hydrocarbons. Systematic research on the mineral composition, organic geochemistry, and hydrocarbon mobility has been performed in the Da’anzhai (J1dn) lacustrine shale oil reservoirs, clarifying the factors controlling shale oil accumulation. The results suggest that J1dn consists of three sub-members, with an organic-rich interval developed within the second sub-member. Three types of lithological associations have developed within the organic-rich interval: Type 1 represents the interbedding relationship between shale and shell limestone and Type 2 represents shale with intercalated limestone, followed by Type 3. The brittleness index of the J1dn continental organic-rich shale is relatively low. The porosity of the Da’anzhai lacustrine shale ranges between 0.5% and 10.5% (average value of 5.89%). The porosity is predominantly due to inorganic pores, with a small amount being attributable to nanoscale microfractures and organic pores. The average porosity of the shell limestone is only 1.2%, but fractures at the micron and centimeter scales are well developed. The organic matter in the J1dn continental shale is mainly II1–II2, with maturity in the oil generation stage. The average oil saturation of the J1dn continental shale is 3.15%, with most samples having oil saturation of less than 4%. The J1dn continental shale has great exploration potential with regard to shale oil. Type 1 shale oil is affected by multiscale fractures, including bedding fractures, and has the best mobility. The high hydrocarbon generation capacity of lacustrine shale, coupled with the multiscale fractures within shell limestone and shale, is the principal controlling factor for hydrocarbon enrichment. Based on exploration practices, the Type 1 shale association may represent the optimal interval for future shale oil exploration in the Da’anzhai Member.