A transient electromagnetic three-component exploration method utilized in a mine shaft comprises adjusting, according to a geological characteristic of a coal mine, a transient electromagnetic signal excitation method and receiving method. Different measurement methods can produce significant differences in the number of magnetic field lines cut by low-impedance objects, resulting in a significant difference in strength of generated secondary fields. Three sets of receiving coils are adopted, and the receiving coils are arranged along three directions perpendicular to each other. One set of the receiving coil and a transmitting coil are arranged in an overlapping loop device configuration, implementing, in one process, transmitting and receiving response data from all directions. Angles of the transmitting coil and the receiving coil at an entrance of a downhole tunnel can be changed to realize fan-shaped scanning to obtain more electromagnetic responses, thereby determining a water-rich region in a stratum more accurately.