The paper presents an interpretation of an in situ heating test carried out on Opalinus clay in the Mont Terri underground laboratory. Opalinus clay is a stiff, strongly bedded, Mesozoic clay of marine origin. When subjected to thermal loading, saturated stiff clays exhibit a strong pore pressure response that significantly affects the hydraulic and mechanical behaviour of the material. The observations gathered in the in situ test have provided an opportunity to examine the integrated thermo-hydro-mechanical (THM) response of this sedimentary clay. Coupled THM numerical analyses have been carried out to provide a structured framework for interpretation, and to enhance understanding of THM clay behaviour. Numerical analyses have been based on a coupled theoretical formulation that incorporates a constitutive law especially developed for this type of material. The law includes degradation of bonding by damage. By performing three-dimensional computations, it has been possible to incorporate anisotropy of material parameters and of in situ stresses. The 3D simulation has proved able to furnish a satisfactory representation of the development of the in situ test and of the main observed patterns of behaviour. A sensitivity analysis has also been carried out to examine the potential effect of various key or uncertain parameters. The critical examination of test observations and the results of the numerical analyses have allowed the classification, by differing degrees of significance, of the various coupled phenomena present in the problem.