The geo-energy sector makes use of advanced technologies such as shale gas extraction, CO2 sequestration and nuclear waste geological disposal that rely on the exploitation of shale formations. Due to the great depths involved in these applications and the difficulties in retrieving intact samples, remoulded shale specimens are often adopted for hydro-mechanical testing. Remoulded and intact shales may substantially differ in their hydro-mechanical behaviour due to the particular structure of the natural material, which is the result of diagenesis and burial history. This paper presents an experimental campaign aimed at (i) characterizing the role of diagenesis and depth for Opalinus Clay shale and their impact on the hydro-mechanical behaviour of the material and (ii) understanding how representative the behaviour of the remoulded material is with respect to that of the natural shale. In this paper, the hydro-mechanical behaviour of remoulded and intact specimens from the Opalinus Clay shale formation is investigated by means of a comprehensive oedometric testing campaign. The effects of depth and diagenesis on the material behaviour are analysed by testing intact specimens that come from two different sites and depths of the considered shale formation. The results highlight a considerably greater stiffness for the natural Opalinus Clay with respect to the remoulded specimens when the same vertical effective stress is considered, together with a significantly lower porosity for the former, which is shown to be the result of diagenetic processes rather than solely mechanical compaction. A lower swelling sensitivity is also manifested by the natural material with respect to the remoulded specimens as a result of the formation of bonding; on the other hand, the diagenetic processes do not seem to have a strong impact on the permeability of the material. Finally, creep effects are reduced when diagenesis occurs, while they become more relevant when the material is disturbed or remoulded. The obtained results provide significant insight into the roles of depth, diagenesis and structural disturbance on the hydro-mechanical behaviour of the Opalinus Clay shale.