Understanding the changes of the near-wellbore pore pressure associated with the reservoir depletion is greatly significant for the development of ultra-deep natural gas reservoirs. However, there is still a great challenge for the fluid flow and geomechanics in the reservoir depletion. In this study, a fully coupled model was developed to simulate the near-wellbore and reservoir physics caused by pore pressure in ultra-deep natural gas reservoirs. The stress-dependent porosity and permeability models as well as geomechanics deformation induced by pore pressure were considered in this model, and the COMSOL Multiphysics was used to implement and solve the problem. The numerical model was validated by the reservoir depletion from Dabei gas field in China, and the effects of reservoir properties and production parameters on gas production, near-wellbore pore pressure and permeability evolution were discussed. The results show that the gas production rate increases nonlinearly with the increase in porosity, permeability and Young’s modulus. The lower reservoir porosity will result in the greater near-wellbore pore pressure and the larger rock deformation. The permeability changes have little effect on geomechanics deformation while it affects greatly the gas production rate in the reservoir depletion. With the increase in the gas production rate, the near-wellbore pore pressure and permeability decrease rapidly and tend to balance with time. The reservoir rocks with higher deformation capacity will cause the greater near-wellbore pore pressure.