The slurry infiltration process plays a crucial role in the slurry shield tunneling process, during which a filter cake is expected to form on the tunnel face to transmit the support pressure. This paper proposed a coupled computational fluid dynamics (CFD)-discrete element method (DEM) numerical approach to investigate the slurry infiltration and filter cake formation by modeling the slurry filtration column test, which incorporates the particles, fluid phase, and their interactions. The Simplified Johnson-Kendall-Roberts (SJKR) model was employed to consider the cohesion effect between slurry particles. The validity of the current approach was verified based on the Kozeny-Carman Equation modified by Ergun (1952). The slurry filtration process was divided into four stages with different characteristics of filter cake porosity and pressure drop. Influences of some key model parameters including externally-applied pressure, friction coefficient and cohesion energy density on filter cake formation were investigated and the underlying mechanisms were explored. The law of pressure variation within the filter cake was proposed. A linear relationship between pressure drop ratio and porosity of filter cake was established, which will be useful for predicting the effectiveness of support pressure transmission due to slurry filtration.