Continental shales with abundant oil resources often have poor brittleness, which hinders their successful development. To find favorable areas for shale oil development, a comprehensive analysis of the relationships among shale oiliness, fracability, and paleoclimate was conducted for the Biyang depression, where the first breakthrough in the development of continental shale oil in China was made. A number of different analytical techniques were used, including major and trace element analyses, bulk mineralogy, and scanning electron microscopy–energy-dispersive spectroscopy–cathodoluminescence. The results reveal that the paleoclimate during the deposition of the Hetaoyuan Formation can be divided into three stages: arid, semiarid, and humid. In the arid and semiarid paleoclimate stages, water salinity and productivity were high, which resulted in shales with strong hydrocarbon generation abilities and a high degree of oiliness. In addition, the rivers had relatively limited ability to carry terrigenous detrital minerals (clay and feldspar) into the lakes. Authigenic quartz (partly from hydrothermal activity), calcite, and dolomite formation was comparatively high. Thus, the brittleness index values of the shales formed under arid and semiarid paleoclimates are high. In the shales deposited under arid and semiarid paleoclimates, cryptocrystalline/microcrystalline, authigenic quartz can be identified by its morphology, associated minerals, and cathodoluminescence. With increasing depth, the resin, asphaltene, and wax contents of the shale oil decrease and the mobility of the shale oil improves.