Oil shale is a kind of potential alternative energy source for petroleum and has attracted the attention of energy researchers all over the world. Borehole hydraulic mining has more prominent advantages than both conventional open-pit mining and underground mining. It is very important to attempt to use the borehole hydraulic mining method to exploit underground oil shale. The nozzle is the key component of borehole hydraulic mining and reasonable mining parameters are also crucial in exploiting underground oil shale efficiently. The straight cone nozzle and the oil shale of Huadian area will be taken as the research objects. The self-developed, multifunctional, experimental device can test both the jet’s performance as well as the breaking of oil shale by the high-pressure water jet using the straight cone nozzle and varying structural parameters. Comprehensive analysis of the results of an orthogonal experimental design, including range analysis and variance analysis, demonstrate the optimal structural parameters of a straight cone nozzle as follows: the outlet diameter is 4 mm, the length to diameter ratio is 2.5, and the contraction angle is 60°. In addition, in order to maximize the efficiency of borehole hydraulic mining for Huadian oil shale, the non-submerged jet should be placed parallel to the oil shale bedding. These results can provide scientific and valuable references for borehole hydraulic mining of oil shale.