Under coupled compression–shear loading, the failure and instability behavior of inclined pillars is different from that of horizontal pillars. To enhance the reliability and accuracy of pillar strength design, the influence of different inclination angles and loading rates on mechanical property and the failure behavior of inclined pillar should be studied. In this paper, the combined compression and shear test (C-CAST) system was developed, and mechanical properties and macro failure behavior of coal samples under different inclination angles and loading rates were studied, and acoustic emission (AE) technology was used to determine the internal cracking mode of the sample. The results show that with the increase of inclination angle, the peak shear stress of coal sample increases gradually, while the peak axial stress and elastic modulus slightly increase first and then decrease, and reach the maximum value at an inclination angle of 5°. Within the inclination angle range of 0°–15°, with the increase of loading rate, the peak axial stress and elastic modulus of coal samples first increase and then decrease, while the loading rate corresponding to peak axial stress and elastic modulus decreases. Within the inclination angle range of 20°–25°, the peak axial stress and elastic modulus of the sample gradually decrease with the increase of loading rate. The failure mode of coal samples changes from tension-splitting failure (0°–5°), tension–shear composite failure (10°) to single shear failure (15°–25°). Meanwhile, the loading rate has little effect on the failure mode of coal samples, but has a significant effect on the failure degree. When the loading rate is 1.0 and 10 mm/min and the inclination angle ranges from 0°–5°, the proportion of tensile crack is significantly greater than that of the shear crack, and tensile failure is the main failure mode; when the inclination angle ranges from 10°–25°, the proportion of shear crack is more than 50% and increases gradually with the increase of inclination angle, and shear failure is the main failure mode. This law is consistent with the macroscopic failure mode of the sample.