The shale of the Permian Lucaogou Formation in the Jimusar sag, Junggar Basin (abbreviated as the Lucaogou shale) is a typical lacustrine type-II source rock, and is among the most representative target zones for shale oil exploration in China. However, little attention has been paid to the dynamic changes of the shale decomposition; hydrocarbon generation, retention, and expulsion; physico-chemical properties; and producibility of shale oil at different stages of maturation in this shale. Semi-open pyrolysis experiments were performed on the Lucaogou shale; products including expelled gas, oil (expelled oil), bitumen (retained oil), and residual rock were obtained, and their quantities and chemical and physical compositions were comprehensively characterized. The results show that the density and molecular weight of the oil are lower than those of the bitumen, whereas the API gravity of the oil is higher than that of the bitumen, indicating the preferential expulsion of light hydrocarbons and short chains. The saturate, aromatic, resin and asphaltene (SARA) percentages of oils under the current semi-open pyrolysis experiments were similar to those of natural oils recovered from the Lucaogou Formation, suggesting that semi-open pyrolysis can achieve the same purpose as hydrous pyrolysis to simulate natural oil composition. The measured vitrinite reflectance (Ro) of the pyrolyzed shale was lower than the calculated Easy%Ro, which is in accord with findings from the Chang 7 shale (another typical lacustrine type-II shale in China) but distinct from previously reported type-III coals and marine type-II shales. Similar to the Chang 7 shale, the decomposition process of the Lucaogou shale did not follow the sequential reaction model described as kerogen → bitumen → oil or kerogen → NSOs → HCs. The generation of HCs (oil) and NSOs (bitumen) was independent and followed the “alternate pathway” mechanism under semi-open pyrolysis conditions. In the early oil window (Ro ˂ 1.0%), the hydrocarbon expulsion efficiency was relatively low, meaning that the shale simultaneously retained considerable amounts of oil during peak oil generation. The producibility of shale oil reached its maximum at the end of the oil window (1.0–1.2 %Ro), and this interval is considered the most suitable for fracturing technology.