In order to study the dynamic properties of temperature–water-coupled sandstone under axial pressure, impact compression tests were carried out on sandstone samples after temperature–water coupling under eight types of axial pressure (0.5~4.0 MPa) loading as well as no axial pressure loading by using the split-Hopkinson pressure bar (SHPB) test set. The results showed that the mass, volume, and density of the sandstone specimens increased by 0.57%, 0.37%, and 0.20%, respectively, after temperature–water coupling. With increasing axial pressure, the dynamic compressive strength of temperature–water-coupled sandstone samples decreased as a linear function, the dynamic strain increased as a quadratic function, the dynamic modulus of elasticity decreased as a quadratic function, and the average strain rate increased as an exponential function, indicating a strong strain rate effect. From the energy point of view, as the axial pressure increases, the absorption energy of the sample increases, the reflection energy gradually decreases, the crushing degree of the sample increases, and the size of the broken pieces decreases; the average particle size of the sandstone sample pieces decreases quadratically with the increase in the absorption energy and linearly with the increase in the axial pressure.