Mercury (Hg) concentration and isotopic composition of organic-rich sedimentary rocks have been widely used as proxies to track ancient volcanism and associated environmental perturbations. However, interpretation of the Hg data is based on the assumption that the thermal maturity of the sedimentary rocks has limited effects on Hg abundance and isotopic composition, which is yet to be evaluated. Here we conduct closed-system anhydrous pyrolysis experiments to investigate the changes of Hg concentration and isotope composition during the thermal mature process, using both marine and lacustrine mudrocks. A siliceous shale section (Luocun, China) with heterogeneous thermal maturity caused by dike intrusion was also analyzed for Hg. Significant Hg loss (over 80%), with variations of δ²⁰²Hg (by 0.3 to 0.7‰) but small variations of Δ¹⁹⁹Hg (by <0.1 to 0.36‰), were observed during the experiment. The Hg isotopic variation may be caused by the release of isotopically distinct Hg in different mineral phases at different temperatures. Samples from the Luocun section have anomalously low Hg and Hg/TOC values, due to thermal maturity. These findings suggest that (1) thermal maturation of organic-rich shales may be an important factor in distribution of Hg in sediments, and (2) the use of Hg, Hg/TOC and Hg isotopes proxies for paleoclimate and paleoceanography reconstruction should be applied in caution in substrates that may have experienced significant thermal alteration, especially if sill/dike intrusions were present that may cause large varieties of thermal maturity within sedimentary sections.