Maintaining wellbore stability in depleted reservoirs is a critical problem. With production from hydrocarbon reservoirs, the pore pressure of the reservoir is reduced over time, and the reservoir is depleted since field development is one of the main purposes for oil companies. Heavy mud weight in depleted reservoir caused fracture due to reduced fracture gradient, and low mud weight caused blow out in high-pressure zone or well collapse due to shale beds that required high mud weight to prevent collapse. Considering geomechanics and coupled equilibrium equation, continuity equation, Hook’s law, compatibility equation, Darcy’s law, and thermal relation, the Thermo-poro-elastic equation was derived in this research. A finite element method has been developed to implement the fully coupled thermo-poro-elastic non-linear models. The finite element model was validated by comparing it to the available analytical solutions for the thermo-poro-elastic wellbore problems in shale. The non-linear thermal-poro-elasticity finite element model was used to analyze wellbore stability in a depleted reservoir during drilling. The numerical results showed that a decrease drilling fluid’s temperature (cooling) causes to increase in the potential for tensile failure and reduces the potential of shear failure. Due to the depletion reservoir, the potential of tensile failure increased than shear failure, so heating the drilling fluid could cause wellbore stability in the depleted reservoir. Furthermore, based on the numerical results, it may be concluded that the drilling fluid’s temperature is one of the important factors in the wellbore stability analysis in depleted reservoirs.