Abstract: In the CBHE(coaxial borehole heat exchangers) closed-loop geothermal system, the influences of different circulating working fluids on the heat exchange performance of the system are still unclear, and it is not possible to comprehensively evaluate the heat exchange performance with only a single factor. Regarding this problem, a three-dimensional numerical model of fluid flow and heat transfer for the CBHE closed-loop geothermal system was built with COMSOL and verified with field data. Then, four parameters, i.e., outlet temperature, heat exchange power, circulating pressure loss, and COP (coefficient of performance) were selected, and their weight coefficients were determined by the analytic hierarchy process. Finally, a model based on the fuzzy comprehensive evaluation method was built to comprehensively assess the heat exchange performance of nine working fluids. According to the results, the working fluids were classified into three grades, with CO₂ scoring the highest, indicating that CO₂ had the best overall heat exchange performance and was the optimal circulating working fluid. This model can be used to comprehensively evaluate the heat exchange performance of circulating working fluids, and with CO₂ as the circulating working fluid, the heat exchange efficiency of the CBHE closed-loop geothermal system can be significantly improved.