Shale oil is regarded as an alternative to crude oil, and the use of this resource can relieve the crude oil supply shortage. China has abundant oil shale resources, and the conventional shale oil production process is based on oil shale pyrolysis (OSP). However, oil shale pyrolysis suffers from unsatisfactory technoeconomic performance. The process has many constraints, among which the most important constraint is the inefficient utilization of oil shale pyrolysis gas. The driving force determining the energy-efficient and economically beneficial use of pyrolysis gas calls for chemical conversion for high-value chemical production instead of direct combustion for power generation. A new process of shale oil and methane cogeneration by oil shale pyrolysis integrated with pyrolysis gas methanation is therefore proposed. The pyrolysis gas is first separated to obtain olefins, and then, it is used to produce methane by methanation technology. This conversion can significantly improve the energy efficiency and economic benefits. Technoeconomic analysis shows that the exergy efficiency of the new process is increased by 14.52% and the return on investment is increased by 23.33% in comparison with the conventional oil shale pyrolysis process. The proposed process provides a promising method for the efficient utilization of pyrolysis gas in the oil shale pyrolysis industry.