The second Member of the Funing Formation in the Haian Sag of the Subei Basin is a set of organic‐rich fine‐grained sedimentary rocks, which is a key interval for shale oil exploration. Under the premise of establishing a high‐frequency sequence framework, the fine description of the lithofacies change characteristics of the continental fine‐grained sedimentary rocks is the basis for the prediction of shale oil favourable areas and the optimization of the production horizons. This study is established through wavelet transformation of the natural gamma curve of the high‐frequency sequence framework of the second Member of the Funing Formation, using thin‐section observation, total organic carbon analysis, and X‐ray diffraction experiments to study the lithofacies types and characteristics of fine‐grained sedimentary rocks, and discuss the combination of lithofacies under the high‐frequency sequence framework Mode and influencing factors. The results show that the second Member of Funing Formation is composed of three‐level sequence of low‐level system tract (LST), transgressive system tract (TST), and early high‐level system tract (EHST), corresponding to 6 fourth‐level sequences and 10 fifth‐level sequences. According to the division scheme of “abundance of organic matter + mineral composition + sedimentary structure”, it is found that 12 types of lithofacies were developed in the fine‐grained sedimentary rocks of the second Member of Funing Formation. The lithofacies type is affected by the palaeoenvironment. The organic matter facies are mainly controlled by palaeo‐water depth and palaeo‐redox conditions, the components are mainly controlled by palaeo‐water depth and palaeo‐salinity, and the tectonic facies are mainly controlled by palaeo‐redox and palaeo‐salinity. The lithofacies are regularly superimposed in the high‐frequency sequence framework, and three combination modes of A, B, and C are developed. Among them, the type A lithofacies are developed in the low‐stand system tract, and the type B lithofacies are developed in the transgressive system. The C‐type lithofacies assemblage developed near the largest flooding surface and the early highstand system tract, and combined with palaeoenvironment analysis to establish a lithofacies sedimentary model.