<p>The freeze–thaw cycle (FTC) is a primary cause of rock property deterioration in cold regions, while the temperature gradient plays a decisive role in defining the weak planes of damage and the direction of its development. To investigate the inhomogeneous damage characteristics and anisotropic mechanical properties of rocks subjected to FTC under a temperature gradient, cyclic freeze–thaw and mechanical tests were conducted on red sandstone collected from a high-altitude cold region. The results show that, under the influence of a temperature gradient, the strength of red sandstone exhibits significant directional differences: the strength parallel to the temperature gradient (PTG) is consistently higher than that vertical to the temperature gradient (VTG). Digital image correlation (DIC) further confirms the non-uniform distribution of freeze–thaw damage caused by the gradient. Moreover, specimens loaded in the PTG direction tend to display more pronounced ductile failure characteristics. As the number of FTC repetitions and the magnitude of the temperature gradient increase, the disparity in strength between the PTG and VTG directions becomes progressively more evident. Overall, the study reveals that the VTG direction represents the inherent mechanical weakness of freeze–thaw-damaged rock. These findings provide valuable theoretical support for the prevention and mitigation of freeze–thaw damage in engineering rock masses in cold regions.</p>