Increasing attention is currently obtained by the exploitation and utilization of unconventional energy sources globally. Jimusaer shale oil (JSO) was prepared by dry distillation from oil shale in Jimusaer, Xinjiang, China. Using n-heptane and toluene as solvents, saturate (SA), aromatic (AR), resin (RE), and asphaltene (AS) samples were produced from JSO. Samples were subsequently analyzed by elemental analysis (EA), thermogravimetric analysis (TG-DTG), infrared analysis (FT-IR), high-performance gel chromatography (GPC), and nuclear magnetic resonance (1H-NMR and 13C-NMR). In terms of basic properties, element content, classification of combustible minerals, and refining performance, JSO, which has a high H/C value, low carbon residue yield, low metal content, and excellent refining-processing performance, is considered a high-quality shale oil compared with the shale oil produced in other areas. The refining performance of JSO is even comparable with petroleum. According to column chromatography, the contents of SA, AR, RE, and AS in JSO are 54.32, 18.86, 25.81, and 1.01%, respectively. The results of FT-IR and NMR (1H-NMR and 13C-NMR) demonstrated that the chain alkane or aromatic cycloalkyl substituents of SA, AR, and RE decrease sequentially, while the number of aromatic rings and cycloalkane rings and the degree of condensation increase sequentially. These results indicate that the chain alkanes with a small number of cycloalkanes are the main component of SA. The AR and RE contain more thick-ring aromatic hydrocarbons. According to GPC, the molecular weight (Mn) of JSO is 845 g·mol–1, and those of SA, AR, and RE are 702, 1107, and 2218 g·mol–1, respectively. The estimated molecular formulas (Maf) of JSO, SA, AR, and RE, which were calculated based on the combined results of GPC and EA, are C57.91H115.60O1.38N0.79S0.04, C48.02H101.79O0.69N0.85S0.03, C76.96H137.16O1.08N1.87S0.09, and C156.24H247.75O1.46N4.42S0.32.