This article conducted a numerical study of composite percussive drilling with consideration of heat transfer between drilling fluid and bottom-hole rock in geothermal drilling, and analyzed influences of temperature, impact parameters, and heat transfer on rock fragmentation characteristics and energy transfer patterns. In this article, a model for a percussive drilling system based on the coupling of composite percussion and heat transfer was built. The rock fragmentation mechanism and energy transfer efficiency under the coupling of composite percussion and thermal exchange were studied. The main study results are as follows. As the temperature enhances, the total energy transfer efficiency declines, and the tensile damage area shrinks, while the outward extension of tensile cracks enhances. The total energy transfer efficiency enhances with the increase of the heat flux. The thermal load of the rock caused by heat transfer is essentially tensile stress. As the heat flux enhances, the tensile damage areas of the rock gradually expand and interconnect. Under the couplings of composite percussion and heat transfer, the heat transfer can intensify the rock breakage by tensile stress and enhance the energy transfer efficiency, and large deformation of the rock generated by composite percussion can promote the heat transfer process of drilling fluid and high-temperature rock, which in turn enhances the rock thermal damage. This study reveals coupling mechanisms of composite percussion and heat transfer and provides parameter optimization basis for composite percussive drilling in geothermal well.