<p>The stability control of slope rock masses is a fundamental prerequisite for the safe and efficient extraction of coal resources in cold regions. However, the damage behavior of slope rock masses subjected to low-temperature freezing and high-intensity blasting poses significant challenges to stability control in cold-region open-pit mining. Therefore, investigating the dynamic failure mechanical properties of frozen rock and elucidating the coupled damage mechanisms under freezing conditions represent essential scientific issues that must be addressed. In this study, a Split Hopkinson tension bar (SHTB) system was employed to examine the macroscopic tensile failure behavior of water-saturated frozen sandstone. The experimental results demonstrate that, under the combined influence of low temperature and high strain rate, the sandstone exhibits increased strength and brittleness. At lower strain rates, the stress–strain curves display features of ductile deformation, whereas at higher strain rates, they exhibit typical brittle failure behavior. The dynamic tensile strength of coal-bearing sandstone increases progressively with decreasing freezing temperature and increasing strain rate. Similarly, the dynamic elastic modulus rises with decreasing temperature. In contrast, the dynamic peak strain decreases with either decreasing temperature or lower strain rate. High-speed camera imaging and scanning electron microscopy (SEM) analysis further reveal that decreasing temperature or increasing strain rate leads to more complex macroscopic failure patterns and rougher, more irregular fracture surfaces. The strain rate controls the development rate of the internal stress–strain state within the sandstone, directly influencing the dynamic fracture process. Furthermore, the micro-damage evolution is closely linked to freezing temperature, being affected by internal moisture conditions, the material’s brittle–ductile transition behavior, and its microstructural characteristics.</p>