The temperature and pressure dependence of density was measured experimentally from 293 to 473 K and 0.1 to 12 MPa for a shale oil produced from Kukersite oil shale in Estonia. The shale oil sample was a fuel oil fraction of a whole oil produced in a commercial plant that uses solid heat carrier retorting technology. The fraction had a boiling range of approximately 460 to 780 K and contained significant quantities of polar phenolic compounds (hydroxyl group content of 5.3 wt %). The effect of these compounds on the properties of the oil was investigated by removing most of the phenolic compounds via extraction to create the second sample (dephenolated sample with hydroxyl group content of 1.1 wt %). The dephenolation resulted in a shale oil with a composition being more similar to that of other shale oils from well explored deposits. On the basis of a review of the literature, these are the first experimental data on the pressure dependence of density for this shale oil, and shale oils generally. Thermal expansion coefficients, isothermal compressibilities, and speeds of sound were calculated from the experimental data. Empirical relationships describing the temperature dependence of the heat capacities between 288 and 423 K at atmospheric pressure are also presented here.