<p>As an important alternative to conventional oil and gas resources, shale gas has become increasingly crucial in the global energy landscape. During its development, the issue of wellbore instability is a significant concern, severely restricting the safe and efficient exploitation of shale gas. In this study, a 3D wellbore stability analysis model was established. The Thermal–Hydraulic-Mechanical (THM) coupling effect is considered in the model. Under the action of 3D in-situ stress, the impacts of anisotropies in elasticity, permeability, and thermal expansion coefficient on the wellbore stability of shale formations were explored. The results demonstrate that an increase in elastic and permeability anisotropies can expand the damage ranges of bedding planes and matrix. It can also alter the pore-pressure distribution, resulting in stress concentration and ultimately leading to wellbore instability. When the thermal expansion anisotropy increases, the damage area of bedding planes expands while that of the matrix shrinks. The stress changes at the intersection of the wellbore and bedding planes significantly influence the wellbore’s stability. This research enriches the theoretical system of wellbore stability, providing a theoretical foundation for a deeper understanding of the mechanism of wellbore instability in shale formations.</p>