Prefabricated energy shafts represent a technological paradigm shift for coastal urban geothermal systems by integrating structural support with active heat exchange within prefabricated components, thereby overcoming critical constraints related to space and complex hydrogeology. This study investigates the thermo-hydro-mechanical performance of such energy shafts in coastal soft soil areas using a multiphysics numerical model. It evaluates the synergistic effects of employing CuO nanofluids as a heat transfer medium and the influence of groundwater seepage. The results demonstrate that CuO nanofluids significantly enhance heat exchange capacity per unit depth by approximately 26% to 29% under both cooling and heating modes compared to water, primarily due to improved thermal conductivity and intensified micro-convection around nanoparticles. Furthermore, nanofluids effectively mitigate thermal stress by optimizing temperature field distribution, reducing maximum tensile and compressive stresses in the lining by 14.5% to 19.5%. Groundwater seepage markedly improves steady-state heat exchange capacity by up to 32% through enhanced convective heat transfer and accelerates the stabilization of the stress field by promoting temperature field homogenization. This research clarifies the distinct response mechanisms of tensile and compressive stresses to seepage: tensile stress is governed by local thermal deformation constraints, while compressive stress is dominated by the reconstructed global temperature field. These findings provide critical theoretical support for performance optimization and structural safety design of this innovative energy infrastructure under complex hydrogeological conditions.