Research on shale lithofacies is important for shale oil and gas production. This study focused on the lower third member of the Shahejie Formation () in the Luo-69 well in the Zhanhua Sag, Jiyang Depression, Bohai Bay Basin, eastern China. Several methods, including thin section observations, total organic carbon (TOC) analysis, X-ray diffraction analysis, quantitative evaluations of minerals by scanning electron microscopy, major and trace-element analyses, and field emission-scanning electron microscopy, are used to investigate the effect of sedimentary environment on the type and distribution of shale lithofacies. Our research indicates that 36 types of shale lithofacies can be classified based on the TOC content, mineral composition, and sedimentary structure, of which five types are identified in the study area. The shale has a high calcareous mineral content (average of 49.64%), low clay and siliceous minerals contents (averages of 19.54% and 19.02%, respectively), a high TOC content (average of 3.00 wt%), and well-developed horizontal bedding. The sedimentary environment during the deposition of the shale in the Zhanhua Sag had a warm and moist climate, limited provenance, saline water, and strong reducibility. The sedimentary environment in the early stage had a drier climate, more limited provenance, higher salinity, and stronger reducibility than that in the later stage. Shale lithofacies can reflect a certain sedimentary environment and depositional process; similarly, a depositional environment controls the type and distribution of shale lithofacies. Due to the characteristics of the sedimentary environment, organic-rich massive mixed shale, organic-rich bedded mixed-calcareous shale, organic-rich laminated calcareous shale, and organic-fair laminated calcareous shale are developed in the formation from top to bottom.