In recent years, the water jet technology has become an important means for processing unconventional oil and gas resources. With the exploitation of resources to the deep development, the study of the fracture characteristics and failure modes of true triaxial water jet rock breaking is of major importance for the application of the water jet technology in deeper crustal levels. We selected three typical unconventional gas reservoirs, coal, sandstone, and shale, as samples for our rockbreaking experiments of water jet under true triaxial conditions. On the basis of the rock failure criterion considering triaxial stress, we establish the rock-breaking energy criterion of water jet under true triaxial conditions and study the rock-breaking mode of water jet under true triaxial conditions. Experimental results document that the true triaxial water jet rock-breaking energy criterion can predict the rock-breaking threshold pressure well. With the increase of triaxial stress, the breaking threshold pressure of coal, sandstone, and shale increased by 92, 38, and 37%, respectively. Under true triaxial conditions, the failure characteristics and failure modes of different rocks impacted by water jet differ significantly. The water wedge action of coal is weakened, the volume of the crushing pit was reduced by 90%, and the failure is mainly caused by the shear failure that is induced by jet pressure. Sandstone is still dominated by the denudation failure that is caused by jet, but the degree of destruction is weakened, and the volume of the crushing pit was reduced by 38%. The shale has changed from tensile failure that is dominated by stress waves to erosion pit failure that is dominated by shear action. The results of the study provide a reference for the application of the water jet technology for the exploitation of unconventional oil and gas resources in deeper crust levels.