Coal is a kind of rock with the characteristics of soft structure, developed joints, cleats, cracks, and pores, resulting in that its mechanical behaviors are highly sensitive to stress, pore coalbed methane (CBM, gas) pressure and temperature. Thus, due to the variations in stress, pore pressure and temperature caused by the drilling operation, the coal surrounding wellbore can be easily damaged, which would cause serious wellbore instability problems. In this presented work, a stress path of loading axial stress and unloading confining pressure (LAS-UCP) was first determined based on the stress redistribution of the coal surrounding horizontal wellbore in CBM reservoir during drilling process. A series of triaxial compression tests with the LAS-UCP stress path was then conducted to study the effects of axial loading rate, pore pressure and temperature on the mechanical behaviors of coal. The results show that: (1) Under the LAS-UCP stress path, the deformation of coal can be divided into elastic deformation stage, plastic deformation stage, and stress reduction stage. With the decrease in axial loading rate and the increases in pore pressure and temperature, the elastic deformation stage becomes shorter, the plastic deformation stage becomes more significant, stress reduction rate in the stress reduction stage becomes slower, and the coal shows more features of plasticity and ductility. (2) With the increasing axial loading rate, the compressive strength and apparent elastic modulus increase linearly, the absolute values of axial strain, radial strain and volumetric strain at peak stress grow gradually, but the apparent Poisson’s ratio changes irregular. (3) With the increase in pore pressure, the compressive strength, axial strain at peak stress and apparent elastic modulus decrease linearly, the radial strain and volumetric strain at peak stress have no change rule, and the apparent Poisson’s ratio increases gradually. (4) With the increasing temperature, the compressive strength, axial strain at peak stress and apparent elastic modulus reduce gradually, but the absolute values of radial strain and volumetric strain at peak stress, and the apparent Poisson’s ratio increase linearly. The results can not only provide a guidance for safety drilling operation of the horizontal wellbore in CBM reservoir, but also have important significance for other engineering constructions related to coal seam.