Frequent wellbore loss incidents in the Mesozoic reservoirs of the Zhengning oilfield in the Ordos Basin, China, have severely impacted the development of tight oil and gas reservoirs in the basin. This study analyzed the mineral composition, microstructure, natural fracture distribution, and hydration–dispersion characteristics of rocks in the loss-prone intervals of the Mesozoic reservoirs using a laboratory experimental system. The effects of natural fractures and drilling fluid immersion on the mechanical properties and failure behavior of the rocks were investigated, and the wellbore loss mechanisms in the Mesozoic reservoirs of the Zhengning oilfield were comprehensively analyzed. Experimental results show that the reservoir rocks in the loss-prone intervals are widely distributed, with natural fractures having a width of 0.2–0.3 mm, and the clay mineral content is generally above 40%. When the relative content of illite/smectite interstratification exceeds 80%, the rock exhibits strong hydration–dispersion behavior, with a thermal recovery rate of less than 85%. Drilling fluid immersion causes the rock mass to become unstable. The presence of natural fractures and the hydration–dispersion effect significantly weaken the strength of the surrounding rock mass, leading to enhanced rock plasticity. During drilling, the expansion and interconnection of natural fractures, combined with the hydration–dispersion effect, are the main causes of wellbore loss incidents. Our study clarifies the mechanisms underlying wellbore loss incidents in the Zhengning oilfield and provides reliable experimental evidence for preventing such incidents in this area.