In order to explore the engineering mechanical properties of the aeolian sand subgrade treated by pyrolysis residue of oil sludge, the compaction characteristics, resilience modulus, California bearing ratio (CBR), and direct shear characteristics of the aeolian sand subgrade with different content of oil sludge pyrolysis residue, as well as the unconfined compressive strength with 25% content of residue were studied through laboratory tests. The results show that the maximum dry density is 2.071 g/cm3 when the content of oil sludge pyrolysis residue is 25%; the maximum rebound modulus is 160.61 MPa when the content is 15%; the CBR increases continuously with the increase ofresidue content, the CBR value of the sample decreases obviously after soaking in water, within the decrease ranging from 10.97% to 38.46%; the maximum internal friction angle is 34.35° when the content is 20%; the unconfined compressive strength values of the sample with 25% residue content exceed 0.4 MPa at 14 d and after 14 d. The comprehensive test results show that the pyrolysis residue of oil sludge can effectively improve the mechanical properties of the aeolian sand subgrade, and the residue can be used as filling material for the aeolian sand subgrade.