Pore structure is an important parameter for the gas-bearing evaluation of lacustrine shale. However, the characteristics and influencing factors of pore structure and the shale reservoir capacity remain unclear due to the heterogeneity and complexity of shale reservoirs. This study focused on Da’anzhai shale to research the pore structure characteristics using a combination of field emission scanning electron microscopy, low pressure gas adsorption, and mercury intrusion porosimetry. The effects of different matrix components on multi-scale pore structure and the reservoir capacity are discussed. The results show that the total organic carbon (TOC) and vitrinite reflectance (Ro) are 0.7%–1.68% (average of 0.98%) and 1.42%, respectively. The organic macerals are vitrinite, inertinite, and solid bitumen, with the vitrinite predominating. The main minerals are clay minerals, quartz, and calcite. Matrix pores, including mineral-associated pores and organic matter pores, and microfractures jointly constitute the pore system of the Da’anzhai shale. Clay-mineral pores dominate, followed by organic matter pores. Pore sizes mainly range from 0.3 nm to 20 nm, reaching up to 10μm. Mesopore volumes are dominant, followed by micropores and macropores. The pore specific surface areas are 12.76–21.24 m2/g (average of 17.43 m2/g), of which micropores and mesopores account for 48.7% and 51.3%, respectively. TOC, organic macerals, and clay minerals are the controlling factors of the pore structure. In contrast, the impacts of Ro and the framework mineral content on shale pore structure are relatively weak. Da’anzhai shale has sufficient pore volume and specific surface area but the shale is dominated by clay mineral-associated large-size pores and microfractures with few organic micropores, resulting in limited adsorption capacity for the shale. A greater understanding of the pore formation mechanism of shale reservoirs is obtained through this study, which is of great significance for gas-bearing evaluations.