The lateral unloading strength and deformation of surrounding frozen rock are the key parameters for safety evaluation of frozen shaft construction. A low-temperature and high-pressure rock triaxial test system was used to simulate freezing construction, and a constant axial pressure unloading confining pressure test was carried out on frozen sandstone. The effects of freezing temperature, initial confining pressure, and unloading rate on the strength, deformation, and failure modes of frozen sandstone are studied. The main results of the study are as follows: (1) under the initial confining pressure of 20 MPa, the temperature of the sandstone decreases from 20°C to –5°C, and the peak stress and elastic modulus of triaxial compression increase by approximately 3 times. Under lateral unloading conditions, the peak stress of frozen sandstone is about 2∼3 times that of 20°C sandstone, and the peak strain of 20°C sandstone is smaller than that of frozen sandstone. The temperature of frozen sandstone decreases and the rate of increase in the peak stress of triaxial compression is slightly less than the rate of increase in the peak stress of lateral unloading. (2) The initial confining pressure of frozen sandstone increases, the growth rate of axial and radial strain increases, the radial strain dominates the failure process, and the lateral unloading strength decreases significantly. (3) The lateral unloading rate of frozen sandstone increases, the peak strength increases, and the axial and radial strain decrease. At a low unloading rate, partial creep deformation occurs. (4) The frozen rock sample undergoes tensile splitting failure under lateral unloading. According to the stress-strain curve of the frozen rock sample, the relationship between changes in the deformation modulus and changes in the confining pressure unloading amount during the unloading process of the rock sample is obtained.