This study aimed to investigate the effect of external water pressure on the construction of shields in complex loess geological conditions. The Hanjiang to Weihe River Water Diversion Project water conveyance tunnel was used as an engineering case, and a seepage-mechanics coupling model was developed using Phase2 finite difference software. The model was based on the geological parameters of typical tunnel sections in Bailu Tableland. The results of the calculations indicate that the external water pressure outside the lining is distributed unevenly, with high pressure on the lower side of the tunnel, low pressure on the upper side, and equal pressure on the left and right sides. The maximum external water pressure of the lining increases significantly with the rise of the underground water level. Although the maximum principal stress of the segment structure decreases as the underground water level increases, the difference between the maximum and minimum values is only 1.015 times. The maximum deformation and the maximum principal stress of the surrounding rock increase with the distance between the underground water level and the caving roof but are not sensitive to changes in the groundwater level. As the surrounding rock in the collapsible loess stratum lacks self-stability, its overall displacement remains high even after lining is applied. Therefore, appropriate measures need to be taken during construction to prevent potential environmental and hydrogeological issues.