The Paleogene shale of the Dongying depression, a continental basin in eastern China, is taken as the study subject to examine the microscopic features of lacustrine shale reservoirs in the oil window. This study shows that shale pores in this evolutionary stage are present at the micrometer to nanometer scale, but fractures commonly have extension distances at the millimeter scale. Pores and fractures can be divided into three types, namely, primary pores, secondary pores, and cracks. Primary pores commonly have good connectivity at shallow burial depth. With the increase of burial depth, primary porosity is reduced because of compaction and cementation. Secondary pores are important in shale, including dissolved pores inside grains and at grain edge, and dissolution pores inside the hybrid of organic matter (OM) and clay minerals, and evaporite minerals, including carbonates or sulfates. Types of cracks were observed: bedding fissures, dissolution fractures, and structural fractures. The development of bedding fissures is related to the deposition of shale laminae. The formation of dissolution fractures is related to acidic fluids, such as organic acids and hydrogen sulfide, whereas the formation of structural fractures is jointly controlled by fault development, fluid overpressure, and lithofacies. The pores and fractures in the oil window of lacustrine shale can store and channel oil and gas. The hybrid OM-clay-carbonate (sulfate) and the pores inside are important through the oil window. Moreover, the development of the pores depends not only on hydrocarbon generation but also on the interaction of hydrocarbons and organic acid dissolution. This finding has important significance in the accumulation of oil and gas in continental shales.