This paper proposes a coupled thermal–hydrological–mechanical damage (THMD) model for the failure process of rock, in which coupling effects such as thermally induced rock deformation, water flow-induced thermal convection, and rock deformation-induced water flow are considered. The damage is considered to be the key factor that controls the THM coupling process and the heterogeneity of rock is characterized by the Weibull distribution. Next, numerical simulations on excavation-induced damage zones in Äspö pillar stability experiments (APSE) are carried out and the impact of in situ stress conditions on damage zone distribution is analysed. Then, further numerical simulations of damage evolution at the heating stage in APSE are carried out. The impacts of in situ stress state, swelling pressure and water pressure on damage evolution at the heating stage are simulated and analysed, respectively. The simulation results indicate that (1) the v-shaped notch at the sidewall of the pillar is predominantly controlled by the in situ stress trends and magnitude; (2) at the heating stage, the existence of confining pressure can suppress the occurrence of damage, including shear damage and tensile damage; and (3) the presence of water flow and water pressure can promote the occurrence of damage, especially shear damage.