The mechanical damage and failure of cement sheaths in gas storage wells under cyclic loading have been studied extensively. However, because the test device cannot restore the wellbore condition, most studies have been theoretical or regular experimental. If the load‐bearing mode and stress environment in a test device differ from those in a wellbore, then the damage and failure modes will deviate from what occurs in the actual wellbore. Therefore, it is necessary to explore a method that restores the wellbore condition and design a wellbore simulation device that reveals the deformation and damage of the cement sheath. In this study, the development laws of microannulus and microcracks in the cement sheath were studied by triaxial cyclic loading, low‐field nuclear magnetic resonance imaging, and scanning electron microscopy. A device to evaluate cement sheath integrity was then developed. A stress equivalence method was proposed, based on the principle that the stresses at the first and second interfaces of the device are equal to those of the wellbore cement sheath. This method was used to design material, size, and experimental conditions to simulate the load‐deformation law of a cement sheath in a gas storage well. The damage failure mechanism was investigated using the simulation results and computed tomography. Micropores and microcracks in the cement sheath increased continuously under cyclic loading. Damage accumulated, causing strength failure as the period of the cyclic loading increased. Plastic deformation of the cement sheath occurred under cyclic loading, but interfacial peeling did not. The reason is that the cement sheath is under compressive stress during loading and unloading, and the interface between the cement sheath and the outer wall is not damaged. This study provides a new method for studying the mechanical failure of a cement sheath under complex wellbore conditions.