The Lower–Middle Jurassic of the Kuqa Depression consists of terrestrial clastic deposits containing coal seams and thick lacustrine mudstones, and is of great significance for oil and gas exploration. Based on the comprehensive analysis of core, well-logging, outcrop, and seismic data, the sequence stratigraphy, depositional systems, and the controlling factors of the basin filling in the depression are systematically documented. Four primary depositional systems, including braided river delta, meandering river delta, lacustrine, and swamp deposits, are identified within the Ahe, Yangxia, and Kezilenuer Formations of the Lower–Middle Jurassic. The basin fills can be classified into two second-order and nine third-order sequences (SQ1–SQ9) confined by regional or local unconformities and their correlative conformities. This study shows that the sedimentary evolution has undergone the following three stages: Stage I (SQ1–SQ2) primarily developed braided river, braided river delta, and shallow lacustrine deposits; Stage II (SQ3–SQ5) primarily developed meandering river, meandering river delta, and extensive deep and semi-deep lacustrine deposits; Stage III (SQ6–SQ9) primarily developed swamp (SQ6–SQ7), meandering river delta, and shore–shallow lacustrine deposits (SQ8–SQ9). The uplift of the Tianshan Orogenic Belt in the Early Jurassic (Stage I) may have facilitated the development of braided fluvial–deltaic deposits. The subsequential expansion of the sedimentary area and the weakened sediment supply can be attributed to the planation of the source area and widespread basin subsidence, with the transition of the depositional environments from braided river delta deposits to meandering river delta and swamp deposits. The regional expansion or rise of the lake during Stage II was likely triggered by the hot and humid climate conditions, possibly associated with the Early Jurassic Toarcian Oceanic Anoxic Event. The thick swamp deposits formed during Stage III may be controlled by the interplay of rational accommodation, warm and humid climatic conditions, and limited sediment supply. Milankovitch cycles identified in Stage III further reveal that coal accumulation was primarily modulated by long-period eccentricity forcing.