In order to promote the application of aeolian sand in steel-concrete composite structures, the aeolian sand concrete columns with an inner square steel tube is proposed in this paper. This kind of column is composed of aeolian sand concrete, reinforcing steel, and an inner square steel tube. The seismic damage behavior of the column was studied through cyclic loading test and damage analysis on seven specimens with different structural forms. The seismic damage indices of the specimens in this study include the failure mode, bearing capacity, ductility, stiffness, hysteresis behavior, and energy dissipation. Then, a damage model of this kind of column is proposed. The study results show that installing an inner square steel tube can significantly improve the seismic damage behavior of aeolian sand concrete columns. This mode of construction can be used to enhance the replacement percentage of aeolian sand. In addition, the damage model proposed in this paper agrees well with the experimental results and can be used to evaluate the damage degree of the aeolian sand concrete columns with an inner square steel tube.