During the injection of carbon dioxide (CO2) for CO2 capture and storage (CCS) operations, the near-well (including casing, cement, and rock around it) can undergo several thermal loadings. These loadings can significantly increase or decrease the pore pressure and can thus lead to mechanical failure of the cement sheath and rock formation. When these failures appear in the caprock, they can compromise the integrity of the storage site. The understanding of thermo-mechanical behaviour of a potential caprock shale is, therefore, of great importance for the success of CCS operations. In this paper, experiments were performed on Pierre II shale, under confining and initial pore pressures comparable to field conditions. A 60 °C loading amplitude (between 30 and 90 °C) was applied on the shale material both under undrained and drained conditions. The results, analysed within the framework of anisotropic thermo-poro-elasticity, highlight the anisotropic behaviour of the thermal expansion coefficients, as well as of the Skempton coefficient. The thermal pressurization coefficient was also evaluated and showed a potential pore pressure change as high as 0.11 MPa/°C.