In order to reveal the influence of the pull-out rate on the load-bearing properties of the coal–rock combined anchor body, the mechanical properties and failure characteristics of a coal–rock combined anchor body under different pull-out rates (10, 20, 30, 40, 50 mm/min) were studied using the pull-out test and theoretical analysis. The results show that the bearing capacity of the bolt on the coal–rock combined anchor body improves under a dynamic load, but the load-bearing properties of the coal–rock combined anchor body are different from those of the full rock (coal) anchor body. With the increase in the pull-out rate, the maximum pull-out load of the bolt on the coal–rock combined anchor body increases first, then decreases, and finally tends to be stable. Under the condition of a low drawing rate, the bearing capacity of the coal–rock combined anchor system can be greatly improved, but when the pull-out rate exceeds 20 mm/min, the bearing capacity of the anchor system is reduced. The debonding process of the anchoring section of the coal–rock combined anchor body gradually expands from the beginning section of the anchor to the bottom of the borehole. The coal–rock combined anchor body undergoes time differential development of cracks, and the failure of the coal and rock mass occurs at different times. Its failure process can be divided into three stages: (1) the coal anchor and rock anchor act together; (2) the rock anchor acts alone; and (3) the coal anchor and rock anchor have residual action.