Because of the abundance of the alkaline lake shale oil resources of the Permian Fengcheng Formation in the Mahu Sag of Junggar Basin, it is an important replacement field for unconventional oil and gas exploration in Junggar Basin. The reservoir pore space characteristics, diagenesis and their relationship of the shale oil reservoir of Fengcheng Formation in the Mahu Sag of Junggar Basin are studied by using the data of core, petrographic thin section, X-ray diffraction, electron probe and SEM. The results show that: (1) The shale oil reservoir of Fengcheng Formation develops three types of rocks, including siltstone, shale and dolomite, the pore types of shale oil reservoir include residual intergranular pores, dissolution pores, intercrystalline pores, drainage fractures, bedding fractures and structural fractures. (2) Siltstone is moderately compacted, and feldspar of terrigenous clasts and tuffaceous volcanic clasts are dissolved, and the pore types are dominated by feldspar dissolution pores and micron-scale residual intergranular pores. (3) Dolomite is moderately compacted, and carbonate mineral recrystallization and dissolution are developed. The pore types are dominated by micron-scale residual intergranular pores, intercrystalline pores and dissolution pores. (4) Shale is strongly compacted, and the drainage structure caused by rapid compaction is common. Mineral dissolution is not developed, and the pore types are mainly composed of nanometer-scale residual intergranular pores, semi-filled drainage fractures and bedding fractures. (5) Volcanic materials are generally developed in Fengcheng Formation, and intercrystalline pores formed through the devitrification and recrystallization of volcanic glass are common. (6) The fractures caused by tectonic activities are developed in the three types of rocks, resulting in dual media characteristics of Fengcheng shale oil reservoir in the study area. It is considered that siltstone developed micron-scale residual intergranular pores and feldspar dissolution pores has the best physical properties and pore structure, and is the most important "sweet" reservoir type of Fengcheng shale oil in the Mahu Sag of Junggar Basin.