A new type of shale oil in alkaline lacustrine sediments has been discovered in the Late Paleozoic Fengcheng Formation, Mahu Sag, Junggar Basin, China. The fine-grained sedimentary rocks deposited in this alkaline lacustrine environment can be divided into four types and eight sub-types: mudstone (with no alkali minerals), including massive dolomitic mudstone, and massive and laminated calcareous mudstone; dolomite, including massive argillaceous dolomite (with alkali minerals), and massive and laminated argillaceous dolomite (with no alkali minerals); evaporites; and pyroclastic rocks. The massive argillaceous dolomite (with alkali minerals) and pyroclastic rocks have the highest shale oil potential, with average oil saturation index (OSI) values of 344.67 and 124.65 mg HC/g TOC, respectively. Shale oil exploration in the representative well MY1 indicates that the Fengcheng Formation is thick and contains abundant natural fractures, brittle minerals, and mobile oil. The entire Fengcheng Formation is oil-bearing and contains three concentrated stratigraphic intervals of shale oil (i.e., sweet spots). Well MY1 indicates that, compared with source rocks developed in marine and sulfate-type saline basins, the fine-grained sedimentary rocks deposited in alkaline lacustrine environments can also have high shale oil potential. The co-existence and regular distribution of conventional and unconventional reservoirs in the Fengcheng Formation indicate that it is an ideal exploration target for multiple resource types.