In open-pit mines located in cold regions north of the 38°N latitude, there are significant freeze–thaw phenomena in slope rocks. This study conducted freeze–thaw cycle tests, considering the number of freeze–thaw cycles and the freezing temperature, on sandy mudstone commonly found in the slopes of open-pit mines. The investigation focused on the effects of freeze–thaw cycles on the physical and mechanical properties and acoustic emission (AE) characteristics of sandy mudstone. The results show that, with an increase in the number of freeze–thaw cycles and a decrease in freezing temperature, the sandy mudstone specimens exhibit nonlinear exponential changes in mass loss rate, P-wave velocity loss rate, peak strain, uniaxial compressive strength (UCS) and elastic modulus, and the amplitude of these changes gradually decreases. The stress–strain curves of specimens shift gradually from apparently brittle to plastic. Simultaneously, the microstructure changes from dense to loose, the micro surface transitions from flat to rough, and cracks and pore defects gradually develop. The peak AE ringing counts, cumulative AE ringing counts, crack initiation stress, and crack damage stress of the specimens all decrease with an increase in the number of freeze–thaw cycles and a decrease in freezing temperature. This suggests a shift from brittle failure to ductile failure. However, the ratio of crack initiation stress and crack damage stress to peak stress does not vary significantly with the number of freeze–thaw cycles and freezing temperature.