Deformation and damage characteristics of high-temperature rocks during underground coal gasification are the fundamental mechanical problems encountered in coal-bed gasification production. In order to study the characteristics of deformation and damage processes of rocks under the joint action of high temperature and high stress, a damage intrinsic model under the joint action of high temperature–cyclic loading is needed. In this paper, we used the damage mechanics theory to establish the damage instantiation model of rocks under the joint action of high temperature loads based on the Mohr–Coulomb strength criterion. It was found that the higher the temperature, the lower the strength of sandstone, the lower the peak stress, and the higher the peak strain, the peak stress decreased from 95.6 MPa at room temperature to 74.8 MPa at 400 °C to 49.5 MPa at 800 °C, and the peak strain increased from room temperature to 400 °C to 800 °C by 27.9% and 33.4%, respectively. With the increase in temperature, the internal microcracks of sandstone increased and expanded, which caused the degree of damage to intensify, and the macroscopic expression was the reduction in strength and stiffness of the sandstone. The rock went through four stages from loading to damage, including damage weakening, plastic deformation, strain softening, and residual deformation. The four types of fractures that led to the overall rupture of the rock were open fracture, secondary coplanar fracture, secondary inclined fracture, and oblique fracture. The damage intrinsic model constructed in this paper could better reflect the damage process of thermally damaged sandstone under the action of periodic loading, and had certain rationality. The damage intrinsic evolution curve, as well as the damage mechanism of sandstone under the action of macroscopic high temperature-loading, were discussed from the perspective of microscopic damage evolution, and the fracture extension pattern and penetration mechanism of the rock under different temperatures were analyzed. The research results provide an important reference for the design and engineering application of gasifiers in coal-bed underground gasification projects.