For processes such as water injection in deep geothermal production, heat transfer and fluid flow are coupled and affect one another, which leads to numerous challenges in wellbore structure safety. Due to complicated wellbore structures, consisting of casing, cement sheaths, and formations under high temperature, pressure, and in situ stress, the effects of thermo-hydro-mechanical (THM) coupling are crucial for the instability control of geothermal wellbores. A THM-coupled model was developed to describe the thermal, fluid, and mechanical behavior of the casing, cement sheath, and geological environment around the geothermal wellbore. The results show that a significant disturbance of effective stress occurred mainly due to the excess pore pressure and temperature changes during cold water injection. The effective stress gradually propagated to the far-field and disrupted the integrity of the wellbore structure. A serious thermal stress concentration occurred at the junction of the cased-hole and open-hole section. When the temperature difference between the injected water and the formation was up to 160 °C, the maximum hoop tensile stress in the granite formation reached up to 43.7 MPa, as high as twice the tensile strength, which may increase the risk of collapse or rupture of the wellbore structure. The tensile radial stress, with a maximum of 31.9 MPa concentrated at the interface between the casing and cement sheath, can cause the debonding of the cementing sheath. This study provides a reference for both the prediction of THM responses and the design of drilling fluid density in geothermal development.