We develop a new numerical model based on a precise integration method to investigate the coupled thermo-mechanical performance of layered transversely isotropic media around a cylindrical/tubular heat source. To obtain the relational matrices of the extended precise integration method, we first convert the governing equations of the problem into ordinary differential matrix equations through the Laplace–Hankel transform. Then, the cylindrical heat source is divided into a series of plane heat sources, and the plane temperature load term is added to the state vector between layer elements. By combining the layer elements, we build a layered transversely isotropic numerical model containing a cylindrical heat source in the transformed domain. Finally, we solve the model in the transformed domain and obtain the solution of the problem in the real domain through the Laplace–Hankel transform inversion. The accuracy of this method is verified by comparing the solutions with the results of the analytical method and the finite element method. Then, we study the influence of the anisotropy of thermal parameters, the embedded depth, the length/radius ratio, the type of heat source and the stratification of the medium on the thermo-mechanical coupled performance.