As one of the most useful cosmological distance indicators, type Ia supernovae (SNe Ia) play an important role in the study of cosmology. However, the progenitors of SNe Ia are still uncertain. It has been suggested that carbon-oxygen white dwarf (CO WD)+He subgiant systems could produce SNe Ia through the double-degenerate (DD) model, in which the He subgiant transfers He-rich matter to the primary CO WD and finally evolves to another CO WD. Recently, a CO WD+He star system (i.e., HD 265435) has been discovered to be a new SNe Ia progenitor candidate based on the DD model. The orbital period of the system is about 0.0688 days, and the masses of the CO WD and the He star are 1.01 +/- 0.15 M-? and 0.63(-0.12)(+0.13) M-?, respectively. In this work, we evolve a large number of primordial binaries to the formation of CO WD+He star systems and investigate the evolutionary history of HD 265435. We find that HD 265435 may originate from a primordial binary that has a 5.18 M-? primary and a 3.66 M (R) secondary with an initial orbital period of 5200 days. The CO WD+He star system would be formed after the primordial binary experiences two common-envelope ejection processes. We also find that HD 265435 would evolve to a double WD system with a total mass of 1.58 M (R) after a stable mass-transfer process, and the double WD system would merge driven by gravitational wave radiation. We estimate that it would take about 76 Myr for HD 265435 to form an SN Ia. In addition, HD 265435 would be a potential target of space-based gravitational wave observatories (e.g., LISA, Taiji and TianQin).