Waste slurry, a major by-product of urban construction, is produced in rapidly increasing volumes each year. Dehydrated waste slurry has potential as a roadbed material; however, its performance in freeze–thaw environments, which can induce frost heave and thaw settlement, and the mechanism of the influence of freeze–thaw cycles on its macro and micro properties are still unclear and need thorough investigation. This study explores the macroscopic and microscopic properties of waste slurry subjected to freeze–thaw cycles. We conducted unconfined compressive strength (UCS) and triaxial unconsolidated undrained (UU) shear tests, focusing on fissure compaction, elastic deformation, plastic yielding, and strain hardening stages. The results reveal a decrease in strength and elastic modulus with increasing freeze–thaw cycles, as well as in the damage degree generated by freeze–thaw cycles. To uncover the underlying microscopic mechanisms, we performed Scanning Electron Microscopy (SEM), X-ray diffraction (XRD), and mercury intrusion porosimetry (MIP) analyses. These tests highlighted the evolution of pores and microcracks during freeze–thaw cycles. These results have important reference values for the reutilization of waste slurry discharged from large-diameter bored piles for roadbed backfill materials that need to be repaired quickly in seasonally frozen areas.