Synthetic rock samples can offer advantages over natural rock samples when used for laboratory rock physical properties studies, provided their success as natural analogues is well understood. The ability of synthetic rocks to mimic the natural stress dependency of elastic wave, electrical and fluid transport properties is of primary interest. Hence, we compare a consistent set of laboratory multi‐physics measurements obtained on four quartz sandstone samples (porosity range 20–25%) comprising two synthetic and two natural (Berea and Corvio) samples, the latter used extensively as standards in rock physics research. We measured simultaneously ultrasonic (P‐ and S‐wave) velocity and attenuation, electrical resistivity, permeability and axial and radial strains over a wide range of differential pressure (confining stress 15–50 MPa; pore pressure 5–10 MPa) on the four brine saturated samples. Despite some obvious physical discrepancies caused by the synthetic manufacturing process, such as silica cementation and anisotropy, the results show only small differences in stress dependency between the synthetic and natural sandstones for all measured parameters. Stress dependency analysis of the dry samples using an isotropic effective medium model of spheroidal pores and penny‐shaped cracks, together with a granular cohesion model, provide evidence of crack closure mechanisms in the natural sandstones, seen to a much lesser extent in the synthetic sandstones. The smaller grain size, greater cement content, and cementation under oedometric conditions particularly affect the fluid transport properties of the synthetic sandstones, resulting in lower permeability and higher electrical resistivity for a similar porosity. The effective stress coefficients, determined for each parameter, are in agreement with data reported in the literature. Our results for the particular synthetic materials that were tested suggest that synthetic sandstones can serve as good proxies for natural sandstones for studies of elastic and mechanical properties, but should be used with care for transport properties studies.