Holes are often reserved in concrete for holding cables and other industrial facilities. In order to ensure the safe application of high-performance concrete (HPC) members in a state of three-dimensional compression, it is of great significance to research the effect of holes on the mechanical properties of HPC under triaxial compression. However, there have been no previous studies on the triaxial compressive mechanical properties of HPC with holes. In this paper, HPC with a hole are experimentally studied under triaxial compression. The stress-strain curves, the strength, and the failure mechanisms of HPC are obtained. The experiment results show that both the confining pressure and the hole size jointly influence on the mechanical properties of HPC. Moreover, the Power-law failure criterion is modified to eludidate the relationship between the triaxial compressive strength of HPC and the hole size. In addition, the stress averaging method is firstly introduced to predict the sidewall failure of the hole in concrete, and the experimental results are used to modify the stress averaging method. The results show that the modified method can accurately predict the sidewall failure of the hole, and both the decrease of the confining pressure and the increase of the hole size are conducive to failure of the hole. This study makes up for the blank of the research of HPC with holes under triaxial compression, and presents an effective method to predict the failure of the hole.