Coal is the main energy source in China. In the process of coal resource mining, the surrounding rock of roadways is often in the complex stress environment of “three heights and one disturbance”. At the same time, rocks in the stratum are often in a three-way unequal pressure state under the action of geological structure, and conventional rock mechanics tests cannot study the mechanical properties of rocks under actual stress conditions; thus, this is based on the self-developed true triaxial multifunctional fluid–structure coupling test system to study the damage mechanical Properties of Sandstone. The results are shown as follows: With an increase in loading rate, the peak damage Dcr of sandstone decreases, but the initial damage Da increases in the elastic stage, and the brittleness of sandstone weakens. With the increase in the unloading rate, Dcr increases, but Da decreases in the elastic stage, and the sandstone brittleness increases first, then decreases. In addition, the peak maximum principal strain ε1maxfirst decreases rapidly and then slowly; the peak minimum principal strain ε3max increases first, then decreases slowly, and increases slowly; the peak intermediate principal strain ε2max decreases slowly; and the peak volume strain εvmax increases rapidly first and then slowly with increases in the loading rate. With an increase in the unloading rate, ε1max increases rapidly first, then decreases slowly, then increases rapidly and finally increases slowly; ε3max first decreases slowly, then increases slowly, and finally decreases slowly; and ε2max increases slowly then decreases slowly. εvmax decreases rapidly first and then increases slowly with increasing loading rate.