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In this work, a novel thermal–hydraulic–mechanical (THM) coupling model is developed, where the real geological parameters of the reservoir properties are embedded. Accordingly, nine schemes of CO2 injection well (IW) and CH4 production well (PW) are established, aiming to explore the behavior of free gases after CO2 is injected into the depleted Wufeng–Longmaxi shale. The results indicate the free CH4 or CO2 content in the shale fractures/matrix is invariably heterogeneous. The CO2 involvement facilitates the ratio of free CH4/CO2 in the matrix to that in the fractures declines and tends to be stable with time. Different combinations of IW–PWs induce a difference in the ratio of the free CH4 to the free CO2, in the ratio of the free CH4/CO2 in the matrix to that in the fractures, in the content of the recovered free CH4, and in the content of the trapped free CO2. Basically, when the IW locates at the bottom Wufeng–Longmaxi shale, a farther IW–PWs distance allows more CO2 in the free phase to be trapped; furthermore, no matter where the IW is, a shorter IW–PWs distance benefits by getting more CH4 in the free phase recovered from the depleted Wufeng–Longmaxi shale. Hopefully, this work is helpful in gaining knowledge about the shale-based CO2 injection technique.