According to the theory of sequence stratigraphy based on continental transgressive-regressive (T-R) cycles, a 500 m continuous core taken from the second member of Kongdian Formation (Kong 2 Member) of Paleogene in Well G108-8 in the Cangdong Sag, Bohai Bay Basin, was tested and analyzed to clarify the high-frequency cycles of deep-water fine-grained sedimentary rocks in lacustrine basins. A logging vectorgraph in red pattern was plotted, and then a sequence stratigraphic framework with five-order high-frequency cycles was formed for the fine-grained sedimentary rocks in the Kong 2 Member. The high-frequency cycles of fine-grained sedimentary rocks were characterized by using different methods and at different scales. It is found that the fifth-order T cycles record a high content of terrigenous clastic minerals, a low paleosalinity, a relatively humid paleoclimate and a high density of laminae, while the fifth-order R cycles display a high content of carbonate minerals, a high paleosalinity, a dry paleoclimate and a low density of laminae. The changes in high-frequency cycles controlled the abundance and type of organic matter. The T cycles exhibit relatively high TOC and abundant endogenous organic matters in water in addition to terrigenous organic matters, implying a high primary productivity of lake for the generation and enrichment of shale oil.