Deep natural gas is an important field and direction for oil and gas exploration and development in the Banqiao depression. The geochemical characteristics of the Paleogene Shahejie Formation source rocks in the Banqiao Sag were investigated based on pyrolysis, Total Organic Carbon (TOC), chloroform bitumen A, vitrinite reflectance, saturated hydrocarbon gas chromatography–mass spectrometry, and maceral determination. The results showed that the Es3 source rocks of the Paleogene Shahejie Formation were generally of better quality than the Es1 source rocks. Regarding the Es1 source rocks, the abundance of organic matter was variable, with mixed types and low maturity. The source rocks were formed in a saline-water reductive environment. Regarding the Es3 source rocks, the abundance of organic matter was relatively high, meaning that they were of medium–high quality, with mixed types of, yet highly mature, organic matter. The hydrocarbon generation environment was oxidative, and the source rocks were mainly deposited in fresh water with localized salinization. The main hydrocarbon-generating components of organic matter in the Shahejie Formation were amorphous humic components formed by intensive microbial modification of lower planktonic algae and terrestrial higher plants. Aquatic organisms were the main sources of organic matter, with localized mixing of higher-plant organic matter. The organic matter derived from these higher plant debris sources provided beneficial conditions for the generation of natural gas. At present, the Shasan source rock is at the peak of hydrocarbon generation. Under deep conditions, the maturity of organic matter increases, and organic matter rich in terrestrial higher plants can make a significant contribution to the generation of natural gas, especially shale gas.