Various geological disasters such as collapses, landslides, and mudslides occur frequently in Yili, Xinjiang. The loess in this area provides a basis for the occurrence of landslides and other disasters. At the same time, Yili Valley is typically a seasonally frozen soil region. The freeze–thaw cycle is an essential disaster-inducing factor. However, scholars have lain a research emphasis on the material source of the Yili Loess, while lacking a systematic investigation of the degradation mechanism of the soil’s physical and mechanical properties under the freeze–thaw action. Therefore, it is prudent to investigate the changes in mechanical properties of loess in this region under the freeze–thaw cycle. In this study, focusing on a typical loess landslide in Yili, some in situ soil samples were collected to conduct related physical and mechanical tests. According to the maximum dry density and optimum moisture content of the loess in the region, four different groups of soil samples with varying moisture contents were prepared and subjected to different freeze–thaw cycles. The changes of apparent individual characteristics under freeze–thaw cycles were observed, and a consolidated undrained (CU) shear test was carried out to obtain the changes of shear strength indices of loess samples with varying moisture contents under freeze–thaw cycles. The results showed the obvious development of characteristics during freeze–thaw cycles, with the growth of many frost and ice crystals. At the freezing stage, the growth of ice crystals led to hexagonal peeling bodies on the surface layer. At the thawing stage, a rapidly melting network ice crystal pattern imposed a thermal thawing disturbance on the surface rock soil. After multiple freeze–thaw cycles, the soil’s peak strength dropped significantly and the internal friction angle changed slightly, but the cohesion was adversely affected, with frequent fluctuations. The present study enhances the research level of loess’s mechanical and strength properties under freeze–thaw cycles and provides a theoretical foundation for preventing loess landslides in this region.