Nuclear reactor multiphysics modeling and simulation enable advanced reactor system design by understanding, analyzing, and evaluating how a system will react over time to various configurations, scenarios, and input conditions. However, high-fidelity coupled transient multiphysics modeling and simulations for a reactor core are computationally expensive. This work develops a Coupled Adjoint-based Perturbation Theory for dynAmIcs and heat traNsfer (CAPTAIN) framework to rapidly quantify the impact of uncertainty to the overall transient response by generating first-order sensitivity coefficients for temperature, power, and delayed neutron precursor concentrations using forward and adjoint solutions. This work presents initial proof of principle of an adjoint-based perturbation theory method for coupled heat conduction and point kinetics simulations. This methodology is verified using models of a simple nuclear system with perturbations to several inputs and achieves promising results for future uncertainty quantification studies.