Summary Liquid/supercritical carbon dioxide (L/SC-CO2) fracturing is an emerging technology for shale gas development because it can effectively overcome problems related to clay swelling and water scarcity. Recent applications show that L/SC-CO2 fracturing can induce variations in temperature. Understanding of this phenomenon is rudimentary and needs to be carefully addressed to improve the understanding of CO2 thermodynamic behavior, and thus helps to optimize CO2 fracturing in the field. In this paper, we develop a numerical model to assess the impact of thermal effect on fracture initiation during CO2 fracturing. The model couples fluid flow and heat transfer in the fracture, and is verified by a peer-reviewed solution and observation in laboratory experiments. The velocity, pressure, and temperature are calculated at various time to demonstrate the thermodynamic behavior during fracture initiation. A pseudo shock wave is observed, associated with a compression wave and an expansion wave, which finally leads to an increase in temperature in the new fracture and a decrease in temperature in the initial fracture. The thermal stress is derived to investigate the difference between hydraulic fracturing and CO2 fracturing. The results show that thermal stress, resulting from CO2 fracturing initiation, is comparable to the rock strength, which will help induce microfractures, and thus promote the fracture complexity. The formation pressure after CO2 fracturing is also calculated to evaluate the pressure-buildup potential. This work highlights the importance of CO2 expansion during and after fracturing. It is one of the unique features that differs from hydraulic fracturing. For field-design recommendations, to enhance the thermal effect of CO2 fracturing, it is a good strategy to pump CO2 at high pressure and low temperature into the reservoirs with high Young's modulus, low Poisson's ratio, low permeability, and high geothermal temperature (or large depth). This paper does not address the dynamics of fracture propagation under the influence of thermal effect. Rather, it intends to demonstrate the potential of the thermal effect of CO2 fluid in assisting the fracture propagation, and the importance of incorporating the compressibility of CO2 into fracture modeling and operation design. Failing to account for this thermal effect might underestimate the fracture complexity and stimulated reservoir volume.