In order to better understand nanopore structure and fractal characteristics of lacustrine shale, nine shale samples from the Da’anzhai Member of Lower Jurassic Ziliujing Formation in the Sichuan Basin, southwestern (SW) China were investigated by total organic carbon (TOC) analysis, X-ray diffraction (XRD) analysis, field emission scanning electron microscopy (FE-SEM), and low-pressure N₂ adsorption. Two fractal dimensions D₁ and D₂ (at the relative pressure of 0–0.5 and 0.5–1, respectively) were calculated from N₂ adsorption isotherms using the Frenkel–Halsey–Hill (FHH) equation. The pore structure of the Lower Jurassic lacustrine shale was characterized, and the fractal characteristics and their controlling factors were investigated. Then the effect of fractal dimensions on shale gas storage and production potential was discussed. The results indicate that: (1) Pore types in shale are mainly organic-matter (OM) and interparticle (interP) pores, along with a small amount of intraparticle (intraP) pores, and that not all grains of OM have the same porosity. The Brunauer–Emmett–Teller (BET) surface areas of shale samples range from 4.10 to 8.38 m²/g, the density-functional-theory (DFT) pore volumes range from 0.0076 to 0.0128 cm³/g, and average pore diameters range from 5.56 to 10.48 nm. (2) The BET surface area shows a positive correlation with clay minerals content and quartz content, but no obvious relationship with TOC content. The DFT pore volume shows a positive correlation with TOC content and clay minerals content, but a negative relationship with quartz content. In addition, the average pore diameter shows a positive correlation with TOC content and a negative relationship with quartz content, but no obvious relationship with clay minerals content. (3) Fractal dimension D₁ is mainly closely associated with the specific surface area of shale, suggesting that D₁ may represent the pore surface fractal dimension. Whereas fractal dimension D₂ is sensitive to multiple parameters including the specific surface area, pore volume, and average pore diameter, suggesting that D₂ may represent the pore structure fractal dimension. (4) Shale with a large fractal dimension D₁ and a moderate fractal dimension D₂ has a strong capacity to store both adsorbed gas and free gas, and it also facilitates the exploitation and production of shale gas.