Laminated shales are widely developed in the Dongying Sag and have attracted much attention as an oil reservoir. Macroscopically, these shales generally have multi-scale cyclicity, which is closely related to the development of laminae. Therefore, analyzing the origin of their cyclicity is helpful to understanding the formation mechanism of laminated shales and the vertical heterogeneity of shale reservoirs, which are of great significance for continental shale oil exploration and development. In this study, a gamma ray (GR) logging series, high-resolution elemental geochemical data, high-resolution core scanning photos and grayscale data, and mineralogical data were used to characterize the cyclicity of shale at different scales, and their relationship with different astronomical cycles was discussed. The results show that the Es3L and Es4U shale in the Dongying Sag has cyclicity from the meter-scale to the ten-meter scale and then to the hundred-meter scale, which is mainly manifested by periodic changes in organic matter abundance, mineral composition, element abundance, and grayscale. These cycles of different scales coincide with different astronomical periods. Specifically, the hundred-meter scale cyclicity is mainly controlled by the very long orbital period; the ten-meter scale cyclicity is mainly related to the eccentricity cycle; while the precession period is the main driver of the meter-scale cyclicity. Finally, we propose a simplified model for illustrating the formation of rhythmic organic-rich shale. This study is helpful to understanding the origin of continental organic-rich shale and predicting shale reservoir properties.