The in situ efficient exploitation of low-mature organic-rich shale resources is critical for alleviating the current oil shortage. Convection heating is the most critical and feasible method for in situ retortion of shale. In this study, a thermo-hydro-mechanical coupling mathematical model for in situ exploitation of shale by convection heating is developed. The dynamic distribution of the temperature, seepage, and stress fields during the in situ heat injection of shale and the coupling effect between multiple physical fields are studied. When the operation time increases from 1 to 2.5 years, the temperature of most shale formations between heat injection and production wells increases significantly (from less than 400 to 500 °C), which is a period of significant production of shale oil and pyrolysis gas. The fluid pore pressure gradually decreases from the peak point of the heat injection well to the surrounding. Compared with shale formation, bedrock permeability is poor, pore pressure increases slowly, and a lag phenomenon exists. The pore pressure difference between bedrock and shale is minimal by 1 year. When the heat injection time is 2.5 years, the permeability coefficient of shale formation in the area from the heat injection well to the production wells increases nearly 100 times the initial permeability coefficient. With increasing formation temperature, the vertical stress gradually evolves from compressive stress to tensile stress. Meanwhile, the action area of tensile stress expands outward with time with the heat injection well as the center. In general, increasing tensile stress enlarges the pore volume. It extends the fracture width, creating favorable conditions for the injection of high-temperature fluids and the production of oil and gas.