The exploration practice in the North America suggests that shale gas as an unconventional natural gas resource is a kind of current alternative energy resource. According to correlation of light hydrocarbon composition of head space gases and gas-to-oil ratio as well as buried depth, the exploration of the shale gas reservoir in the Dongying Depression should be oil and gas concurrent exploration, when the buried depth is less than 3 400 m, in contract that the exploration should give priority to shale gas reservoir if it is more than 3 400 m. Therefore, the authors proposes that it should be a remarkable notable and risk invest in new exploitation field since the Paleogene shale in the Dongying Depression exists great recoverable oil and gas resource.