Abstract: The microscopic occurrence characteristics primarily constrain the enrichment and mobility of shale oil. This study collected the lacustrine shales from the Palaeogene Funing Formation in the Gaoyou Sag, Subei Basin. Conventional and multistage Rock-Eval, scanning electron microscopy, and nuclear magnetic resonance (NMR) T1–T2 were performed to analyze the contents and occurrence characteristics of shale oil. Low-temperature nitrogen adsorption-desorption (LTNA/D) experiments were conducted on the shales before and after extraction. The relationships between shale oil occurrence with organic matter and pore structures were then discussed. Predominantly, the shale oil in the Funing Formation is found within fractures, with secondary occurrences in interparticle pores linked to brittle minerals and sizeable intraparticle pores associated with clay minerals. The selected shales can be categorized into two types based on the nitrogen isotherms. Type A shales are characterized by high contents of felsic and calcareous minerals but low clay minerals, with larger TOC and shale oil values. Conversely, Type B shales are marked by abundant clay minerals but diminished TOC and shale oil contents. The lower BET specific surface area (SSA), larger average pore diameter, and simpler pore surfaces and pore structures lead to the Type A shales being more conducive to shale oil enrichment and mobility. Shale oil content is predominantly governed by the abundance of organic matter, while an overabundance of organic matter typically equates to a reduced ratio of free oil and diminished fluidity. The BET SSA, volumes of pores less than 25 and 100 nm at extracted state all correlate negatively with total and adsorbed oil contents but display no correlation with free oil, while they have positive relationships with capillary-bound water. Consequently, pore water is mainly saturated in micropores (<25 nm) and minipores (25–100 nm), as well as adsorbed oil, while free oil, i.e., bound and movable oil, primarily exists in mesopores (100–1000 nm) and macropores (>1000 nm). These findings may enhance the understanding of the microscopic occurrence characteristics of shale oil and will contribute to guide resource estimation and shale oil sweet spot exploitation in the Gaoyou Sag, Subei Basin.