Because clay minerals and pore-size distribution are important for oil and gas accumulation in lacustrine mudstone reservoirs, this study aimed to characterize the pore-size distribution in lacustrine mudstone, reveal the importance of clay minerals in gas sorption capacity (GSC), provide insights into the primary GSC controls for lacustrine mudstones, and discuss the shale oil and gas resource potential and possible risks in their future production. A total of 256 core samples from the lower Paleogene sequence of the Dongying depression in the Bohai Bay Basin in China were analyzed to determine organic richness and hydrocarbon generation potential. A series of analyses was conducted on a suite of 28 mudstone samples from the S121 well to investigate the mineral composition, pore-size distribution, and primary controls on GSC. Scanning electron microscopy and x-ray diffraction were used to observe the microscopic characteristics and identify various minerals. Nitrogen adsorption experiments at low temperatures and a methane isothermal adsorption test were conducted to study the pore sizes and gas adsorption capacities. Experimental results show that the majority of the samples were rich in type II and I kerogen with moderate to high hydrocarbon generation potential and are thermally mature in the main oil window. The contents of illite and mixed layer illite–smectite (I–S) are high (>40%) in these lacustrine mudstones. The pores were mainly thin, long, and bottleneck shaped and dominated by type IV and H2 hysteresis loop characteristics. The abundance of quartz, feldspar, illite, and mixed layer I–S all presented a positive correlation with their Brunauer–Emmett–Teller surface area and total pore volume, whereas the abundance of carbonate minerals (dominated by calcite) showed a negative correlation. The volume of micropores and clay minerals were the main factors controlling GSCs. The results highlight the importance of clay minerals, including the illite and mixed layer I–S, in the lacustrine mudstones because of their considerable GSC. High content of illite and mixed layer I–S in lacustrine mudstone is in favor of gas storage, whereas at the same time, it is not conducive to shale gas development because of its reducing the brittleness of shale. The Paleogene of Dongying depression has shale oil and gas resources; however, several key geological factors, including pore-size distributions, pore diameters, oil density, and low brittleness, may pose risks in shale oil and gas development.