In order to understand the mechanical properties and energy dissipation law of frozen sandstone under impact loading, the cretaceous water-rich red sandstone was selected as the research object to conduct impact tests at different freezing temperatures (0°C, −10°C, −20°C, and −30°C). The test results suggested the following: (1) the peak stress and peak strain of frozen sandstone are positively correlated with strain rate and freezing temperature, and the strain rate strengthening effect and the low-temperature hardening effect are obvious. (2) The strain rate sensitivity of dynamic stress increase factor (DIF) is negatively correlated with temperature. Water-ice phase change and the difference in the cold shrinkage rate of rock matrix under strong impact loading will degrade the performance of rock together, so DIF is less than 1. (3) In the negative temperature range from −10°C to −30°C, DEIF is always greater than 1. The energy dissipation rate of red sandstone specimens fluctuated between 10% and 25% under the impact loading, and the data are discrete, showing obvious strain rate independence. The failure form changes from tensile failure to shear and particle crushing failure. (4) Combined with the micromechanism analysis, the difference in dynamic mechanical properties of red sandstone at different temperatures is caused by the water-ice phase change and the different cold shrinkage rates of the frozen rock medium. When the temperature drops from 0°C to −2°C, water migrates to the free space of the pore of frozen rock and freezes into ice crystal, resulting in frozen shrinkage. At −30°C, the expansion of ice dominates and the migration of water will stop, leading to frost heave.