This paper presents an improved understanding of coupled hydro-thermo-mechanical (HTM) hydraulic fracturing of quasi-brittle rock using the bonded particle model (BPM) within the discrete element method (DEM). BPM has been recently extended by the authors to account for coupled convective–conductive heat flow and transport, and to enable full hydro-thermal fluid–solid coupled modeling. The application of the work is on enhanced geothermal systems (EGSs), and hydraulic fracturing of hot dry rock (HDR) is studied in terms of the impact of temperature difference between rock and a flowing fracturing fluid. Micro-mechanical investigation of temperature and fracturing fluid effects on hydraulic fracturing damage in rocks is presented. It was found that fracture is shorter with pronounced secondary microcracking along the main fracture for the case when the convective–conductive thermal heat exchange is considered. First, the convection heat exchange during low-viscosity fluid infiltration in permeable rock around the wellbore causes significant rock cooling, where a finger-like fluid infiltration was observed. Second, fluid infiltration inhibits pressure rise during pumping and delays fracture initiation and propagation. Additionally, thermal damage occurs in the whole area around the wellbore due to rock cooling and cold fluid infiltration. The size of a damaged area around the wellbore increases with decreasing fluid dynamic viscosity. Fluid and rock compressibility ratio was found to have significant effect on the fracture propagation velocity.