In a naturally saturated state, rocks are likely to be in a stress field simultaneously containing static and dynamic loads. Since rocks are more vulnerable to tensile loads, it is significant to characterize the tensile properties of naturally saturated rocks under coupled static–dynamic loads. In this study, dynamic flattened Brazilian disc (FBD) tensile tests were conducted on naturally saturated sandstone under static pre-tension using a modified split-Hopkinson pressure bar (SHPB) device. Combining high-speed photographs with digital image correlation (DIC) technology, we can observe the variation of strain applied to specimens’ surfaces, including the central crack initiation. The experimental results indicate that the dynamic tensile strength of naturally saturated specimens increases with an increase in loading rate, but with the pre-tension increases, the dynamic strength at a certain loading rate decreases accordingly. Moreover, the dynamic strength of naturally saturated sandstone is found to be lower than that of natural sandstone. The fracture behavior of naturally saturated and natural specimens is similar, and both exhibit obvious tensile cracks. The comprehensive micromechanism of water effects concerning the dynamic tensile behavior of rocks with static preload can be explained by the weakening effects of water on mechanical properties, the water wedging effect, and the Stefan effect.