Conjugate heat transfer to supercritical CO2 in a vertical tube-in-tube heat exchanger was numerically investigated. The results demonstrate that most models considered are able to reproduce the heat transfer processes qualitatively, and the Abe, Kondoh, and Nagano model shows optimal agreement with the experimental data. The influences of hot fluid mass flux and temperature of the shell side, supercritical fluid mass flux of the tube side, flow direction, and pipe diameter on conjugate heat transfer were investigated based on velocity and turbulence fields. It is concluded that hot fluid mass flux and temperature of the shell side significantly affect heat transfer of the tube side. Mixed convection is the main heat transfer mechanism for the supercritical CO2 conjugate heat transfer process when the inner diameter of the tube is greater than 1 mm. In addition, density variation is highly significant for heat transfer of supercritical CO2 while high viscosity hinders the distortion of the flow field and reduces deterioration in heat transfer.