This study is primarily intended to present a damage constitutive equation under the combined action of confining pressures and freeze–thaw cycles by subjecting deep expansive clay to the consolidated undrained triaxial tests. We study the influence of the numbers of freeze–thaw cycles on various mechanical indexes of soil by using the TSZ-2 instrument (fully automatic triaxial instrument). As the number of freeze–thaw cycles increases, the ultimate peak stress of the soil decreases, and then, the effect of the freeze–thaw effect on the shear strength gradually weakened. By combining the expression method of the damage variable under the action of loading alone with the expression method under the action of freeze–thaw cycles alone, we brought in the damage evolution equation to obtain the damage constitutive equation under the combined action of confining pressures and freeze–thaw cycles. The stress values under three confining pressures (100 kPa, 200 kPa, and 300 kPa) can be determined by using the final damage constitutive model. The measured data with a water content of 17% and six freeze–thaw cycles were compared with the theoretical data. The actual strength values were 118.4 kPa, 152.3 kPa, and 184.1 kPa, and the theoretical strength values were 120 kPa, 150 kPa, and 186 kPa. The fitting degree of the strength value was as high as 99%, which verifies the feasibility of this model. This study can serve as an available reference for well wall construction and disaster prediction in deep coal mining.