Thermal maturation in the shale oil/gas system is inherently complex due to the competitive interplays between hydrocarbon generation and retention processes. To study hydrocarbon generation characteristics from shales within different stages of thermal maturation under the influence of retained oil, we performed Micro-Scale Sealed Vessels (MSSV) pyrolysis on a set of artificially matured lacustrine shale samples from the Shahejie Formation in the Dongpu Depression in Bohai Bay Basin, China. Experimental results show that hydrocarbon yields of shale samples with or without retained oil at various thermal maturities follow different evolution paths. Heavy components (C15+) in samples crack at high temperatures and generally follow a sequence, where they first transform into C6–14 then to C2–5 and C1. Methane accounts for most of the gaseous products at high temperatures in all samples, with different origins. The cracking of C2–5 is the main methane-generating process in samples with retained oil, whereas the source of methane in samples without retained oil is kerogen. In the studied shales, retained oils at early-mature stage retard the transformation of liquid to gaseous hydrocarbon and prompt the cracking of C2–5 to C1 to some extent. TSR reaction related to gypsum in the studied samples is the primary reason that can explain the loss of hydrocarbon yields, especially at high temperatures. In addition, transformation of volatile hydrocarbons to gas and coke also accounts for the loss of generated hydrocarbon, as a secondary factor.