Currently, most of the shale gas development in China's Sichuan region adopts the large-displacement staged fracturing technology. Some of the shale gas wells undergo casing deformation during stimulation of the reservoir, where the trapped pressure of cementing section has a non-negligible effect on the casing stress in the multi-stage fracturing process. To this end, this paper constructs a finite element model of casing-cement sheath-formation assemblage under shale anisotropy based on the step-by-step finite element method by taking into account the whole construction process of drilling, completion and fracturing, in order to analyze the effect of trapped pressure on the casing stress under varying missing degrees, temperature field variations and cement sheath-formation property variations of cementing section in the multi-stage fracturing process. The results show that: 1) the larger the temperature drop in the wellbore during fracturing, the greater the effect of trapped pressure on casing stress during instantaneous pumping termination. 2) The smaller the missing degree of cementing section, the greater the effect of trapped pressure on casing stress under variations of cement sheath and formation. Therefore, optimization of cementing quality and reasonable optimization of relevant fracturing operation parameters are necessary in the future shale gas fracturing stimulation, so as to ensure the normal proceeding of subsequent well completion works.