Spalling disease caused by freeze–thaw cycles often occurs on the loess cut-slopes in northern Shaanxi. The deterioration of the pore structure and mechanical strength of loess under a freeze–thaw environment is one of the critical reasons underlying the occurrence of spalling disease in the slopes. In order to explore the effects of freeze–thaw cycles on the pore structure and the mechanical strength of loess, four initial water contents (7%, 9%, 12%, and 14%) and six freeze–thaw cycles (zero, one, three, five, 10, and 20) were considered in this study. Nuclear magnetic resonance (NMR) and triaxial compression tests were carried out to analyze and reveal the mechanisms of effect causing the deterioration of the soil strength that affects the stability of loess cut-slopes. The results showed that the porosity growth increased with the initial water content and continued to increase during the freeze–thaw process until a later stage of the freeze–thaw cycle, when it gradually stabilized. The stress–strain curves were primarily influenced by the number of freeze–thaw cycles, the initial water content of the samples, and the confining pressure. Both the cohesion and the internal friction angle exhibited a decay law that showed a significant decrease, then a slow decrease, and finally stabilization during the freeze–thaw process. Small and micropores were predominant among the pore structures of the loess, while medium pores were the second most common, and large pores were the least common. With the increase in the initial water content, the pores transformed from micropore structures to medium and large pore structures. The soil strength deterioration was primarily driven by the phase changes of the pore water, as well as the water migration during the freeze–thaw process. This study will be beneficial for identifying the characteristics and types of freeze–thaw disease in cut-slope engineering in seasonally frozen loess areas and providing a theoretical reference and design basis for achieving green and sustainable development in slope engineering, management, and maintenance.