The particle breakage effect and compression characteristics of calcareous sand are related to the water content in the sand material. However, the effects of water content on the particle breakage and compression characteristics of calcareous sand have rarely been investigated. In this work, 50 sets of confined compression tests were conducted on calcareous sand specimens, and the compression characteristics and particle breakage effects of two single-particle-size groups (particle size ranges of 1–0.5 mm and 0.5–0.25 mm) of calcareous sand were investigated under five different water contents. The test results showed that with the increase in the water content, the final compression deformation of calcareous sand was positively correlated with the water content. The final compression deformation decreased when the water content reached a certain value. The water content corresponding to the peak final compression deformation was related to the gradation of the calcareous sand; the specific values were 10% and 15% for particle size ranges of 1–0.5 mm and 0.5–0.25 mm, respectively. With the increase in the water content, the slope of the loading curve of calcareous sand appeared to increase and then decrease, reaching maximum when the water content was 10%. Moreover, the slope of the loading curve was close to twice that of the loading curve of dry sand, whereas the slope of the unloading curve changed little. Under the same water content, the initial gradation had no effect on the compression and unloading characteristics of the specimens beyond a vertical pressure of 1 MPa. The effects of the variation in the water content on the particle breakage of calcareous sand were mainly reflected in the softening effect of water on the specimen particles, which reduced the Mohr strength of the particles.