Methane hydrate (MH) has significant potential to become a major resource of the future energy supply. Depressurization is one of the major methods of MH development used in MH production wells. The redistributions of pore pressure and hydrate saturation change the effective stress and mechanical properties of MH-bearing sediment, resulting in complicated thermal-hydraulic-mechanical behaviours. In this study, the transient multi-phase seepage and transient heat transfer behaviour around a wellbore were analysed. A multiannulus wellbore was obtained via the relations between the hydrate saturation and the mechanical parameters. The analytical stress and displacement solutions for a multi-annulus wellbore were deduced according to elastic mechanics. Then, a new thermal-hydraulic-mechanical coupling model was proposed to gain a better understanding of the kinetic dissociation behaviour of MH in a depressurizing well. The results showed that pore pressure diffusion transforms from a transient state to a relatively steady state in only a few minutes, while a transient state of heat diffusion exists for a relatively long time. The dissociating front moves farther at the beginning of dissociation and then shrinks back towards the wellbore wall. Thereafter, the dissociating front moves nearly linearly with the production time. Due to the flowability differences among the gas, water and MH, the area where the gas and water saturations change is larger than that where the MH saturation decreases. There exists an annulus zone surrounding the wellbore where the mechanical parameters are much lower than those of the zone far from the wellbore. The outer diameter of this annulus increases slowly with the production time. Stress transilience surrounding the wellbore is caused by the transilience of mechanical parameters after the decomposition of MH.