In this article, the finite element model considering the casing eccentricity of high-pressure, high-temperature wellbore integrity is established, where the cohesive zone element is introduced to evaluate the mechanical behavior of the casing–cement sheath interface. In this analysis, the bilinear traction–separation law is used to estimate the interfacial failure, and a damage factor is simultaneously defined to describe the damage evolution of the cohesive element. In addition, to achieve the interfacial separation, the pressure fluctuation inside the casing is applied. Using the finite element approach, we investigate the effect of mechanical parameters including Young’s modulus, Poisson’s ratio, thermal conductivity of the cement sheath, and pressure fluctuation inside the casing on the interfacial failure of the casing–cement sheath. The simulation results show that the damage factor increases with the increase in the mechanical parameters including Young’s modulus and Poisson’s ratio of the cement sheath and the casing pressure fluctuation. We also observe that the maximum damage factor under higher thermal conductivity is higher than that under lower thermal conductivity for the casing concentricity, while it is lower than that under lower thermal conductivity for the casing eccentricity. This indicates that the casing eccentricity has an important impact on the damage factor. What’s more, the casing eccentricity can change the location where the maximum damage factor occurs.