Recently, people are increasingly interested in horizontal directional drilling (HDD) to construct oil and gas pipeline and utility pipeline in the urban area as one of trenchless methods. One of major issues during the HDD is the collapse of borehole, which may be the potential causes of ground collapse. This study investigated the effect of mud pressure on the borehole stability, using finite element analysis. Since the borehole is being drilled with a certain angle, three dimensional analysis should be performed. The borehole stability was examined by applying two different types of mud pressures, i.e., uniform and non-uniform, to the exterior surface of borehole. The results show that the high mud pressure at the beginning of drilling, i.e., at shallow depth, causes the borehole collapse, whereas the borehole was stable even at high mud pressure as the drilling depth increases. It can be said that the determination of maximum mud pressure is strongly related to the drilling depth.