Abstract: Indirect fracturing using a horizontal well in roof is a promising technology for methane exploitation in broken soft and low-permeability coal seams. Stratum-penetration fracturing and a complex fracture network with good conductivity are two keys for indirect fracturing. To study the evolution of broken pressure and fracture morphology under different perforation depths in indirect fracturing, true triaxial hydraulic fracturing experiments for coal-sandy mudstone blocks with different borehole depths were carried out. The dynamic response for hydraulic fracture propagation was monitored using acoustic emission (AE), and the surface of the hydraulic fracture in coal was reconstructed using 3D topography scanning. In addition, the influence mechanisms of borehole depth on the broken pressure, fracture stratum-penetration behavior, and fracture surface roughness were analyzed. The results show that: As the borehole depth increases, the broken pressure and broken time of sandy mudstone both decrease, and the fracture morphology becomes zigzag and rough. When the borehole depth increases from 25 mm to 45 mm, the broken pressure decreases by 1.57 MPa and the broken time decreases by 7 s. The hydraulic fracture firstly extends along the interface and then penetrates the coal rather than directly penetrating it. The injection pressure-time curve shows an obvious secondary peak, the injection pressure for fluid steady seepage increases, and the roughness of the fracture in coal increases by 12.5. The above phenomena suggest that increasing the borehole depth can facilitate the breakdown of sandy mudstone and complex hydraulic fractures with a rough surface and good conductivity. The released AE cumulative energy and AE events both increase with decreasing borehole depth. Comparing the case with a borehole depth of 25 mm to the case with a borehole depth of 45 mm, the AE cumulative energy of the former is 0.81 nJ larger than that of the latter, and the AE events in coal-rock block and coal of the former are 70 and 40 more than that of the latter, respectively. The fracture shape is straighter because of the more obvious energy impact effect resulting from sandy mudstone failure. The above phenomena suggest that decreasing borehole depth can facilitate fracture penetration. The dimensionless constant characterizing the elastic modulus and Poisson’s ratio of the coal-rock block is 0.38, which is obviously smaller than 0.50, which is required for uniform stress transfer in rock, inducing internal tensile stress in sandy mudstone. The induced internal tensile stress in sandy mudstone is a major reason for the influence of borehole depth on the broken pressure. As the distance between the horizontal well and coal-rock interface increases or the perforation depth decreases, the hydraulic fracture is more prone to penetrating into the coal, but the shape of the hydraulic fracture in coal is straighter and smoother, inhibiting the complex fracture network. Therefore, in theory, there is an optimal value for the drilling position of the horizontal well in roof and the perforation depth, the determination of which should include the fracture penetration effect and the complexity and conductivity of the fracture network in coal. The research results can provide theoretical guidance for optimizing the drilling position of the horizontal well in roof and the perforation depth.