In the drilling engineering of deep shale gas well in thrust belt of the western margin of Ordos Basin, complex cases such as collapse, leakage and stuck drilling are frequent. In order to ensure safe and efficient drilling, reduce exploration and development costs, and realize the economic and efficient development of deep marine shale gas resources in this area as soon as possible, based on indoor physical experiments of in-situ stress and rock mechanics, combined with field engineering parameters and collapse/leakage information, and considering the influence of weak surface of mechanics, formation mechanical parameter and four-pressure profile models for the whole well section of deep well in the western thrust belt were established. The distribution law of mechanical parameters of different lithologic strata was evaluated, and the instability mechanism of deep well wellbore collapse and leakage in the thrust belt of western margin was revealed. The results show that the strength of sand-mudstone strata above Yanghugou Formation is low, 20 ~100 MPa, while the strength of limestones from Lashizhong formation to Zhuozishan formation is higher, over 100 MPa. Large horizontal principal stress difference, developed fracture zone and coal seam are the main causes of wellbore instability. The established rock mechanical properties and four pressure profiles of deep wells in the western margin thrust belt can provide scientific basis for optimization design of well structure and the selection of key engineering parameters.