In this manuscript, a novel transformed differential quadrature solution to the coupled thermo‐hydro‐mechanical (THM) problem of layered transversely isotropic (TI) saturated media is proposed, accompanied by a sensitivity analysis of pertinent parameters. Initially, the THM governing equations that encompass the transverse isotropy characteristics of thermal, permeable, and mechanical properties are introduced. Subsequently, utilizing the transformed differential quadrature method (TDQM), the discretized algebraic equations in the transformed domain are derived. Boundary conditions related to stresses, displacements, and temperatures are defined leveraging integral transform techniques and the stress‐strain relationship, while algebraic equations for continuity conditions across adjacent layers are incorporated. The global matrix equation is assembled and solved. After verifying the proposed TDQM solution, a sensitivity analysis on the complex transversely isotropic parameters is conducted to identify the principal factors influencing THM coupling behaviors, thereby simplifying the parameters for discussion in practical engineering applications.