Many papers on axial compression tests of coal-rock combined bodies have observed the failure of rock components. However, the failure mechanism of the rock component has been the focus of debate among many scholars. One view is that the failure of the rock is due to the energy released during coal failure; the other view is that the failure of the rock is due to the inconsistent coal-rock lateral deformation resulting in tensile stress on the rock side of the coal-rock interface. In response to these two controversial failure mechanisms, coal-rock combined bodies with three coal-rock interface bonding methods (AB glue, direct contact, and graphite fluoride) were designed, and the axial compression tests were carried out. The results show that: (1) the damage cracks of the combined body are mainly distributed on the coal component, the stronger the interface adhesion, the easier it is to crack. (2) All three combined bodies showed rock component damage, and the number of cracks in the rock component was different at different interfaces of the combined bodies. The stronger the interfacial adhesion is, the easier it is to produce cracks, and the more the number of cracks in the rock component is. (3) The destruction of rock components is the result of energy transfer mechanism. Under the action of the test machine, the coal component is destroyed first, and a large amount of elastic energy is released instantaneously to the rock component, which reaches the energy storage limit of the rock and stimulates the destruction of the rock component. The tensile stress at the coal-rock interface plays a certain role in the propagation and penetration of cracks in the rock, but does not determine the damage of rock components. (4) The stronger the interfacial bonding, the greater the strength of the combined body. Based on the D-P criterion, the strength of coal rock at the interface of coal-rock combined body was analyzed. The strength of the coal body at the interface increases to a certain extent, and the strength of the rock mass at the interface decreases to a certain extent. ( 5) The stress distribution model of coal-rock combined body was constructed, and the internal mechanism of coal-rock component failure was further clarified. The coal and rock mass at the interface are the weak areas of the combined body, and the stress concentration in this area is the largest and the possibility of damage is the largest.