Both ground source heat pumps (GSHPs) and energy underground structures are engineered systems that utilize shallow geothermal energy. However, due to the construction complexity and associated costs of energy tunnels, their heat exchange efficiency relative to GSHPs remains a topic worthy of in-depth investigation. In this study, a thermal–hydraulic (TH) coupled finite element model was developed based on a section of the Torino Metro Line in Italy to analyze the differences in and influencing factors of heat transfer performance between energy tunnels and GSHPs. The model was validated by comparing the outlet temperature curves under both winter and summer loading conditions. Based on this validated model, a parametric analysis was conducted to examine the effects of the tunnel air velocity, heat carrier fluid velocity, and fluid type. The results indicate that, under identical environmental conditions, energy tunnels exhibit higher heat exchange efficiency than conventional GSHP systems and are less sensitive to external factors such as fluid velocity. Furthermore, a comparison of different heat carrier fluids, including alcohol-based fluids, refrigerants, and water, revealed that the fluid type significantly affects thermal performance, with the refrigerant R-134a outperforming ethylene glycol and water in both heating and cooling efficiency.