This study investigates the stability of an artificial dam used in an underground reservoir in a coal mine under periodic weighting imposed by overlying rock strata. For this purpose, cyclic loading and unloading tests with different stress amplitudes were designed. Differences in the mechanical performance of the artificial dam with and without overlying strata were analyzed using a uniaxial compression test. The mechanical properties of the structure under constant-amplitude cyclic loading and unloading were characterized. Further, the law of influence of stress amplitude on stability was discussed. A formula for predicting the mechanical performance of the artificial dam with its overlying rocks (hereafter referred to as the complex) was finally derived and was suitable for clarifying the law of damage in the complex under cyclic loading and unloading. The results showed that the complex had changed the internal structure of rocks. The strength and deformation of the complex were intermediate to that of either single structure. All three underwent brittle failure. During the constant-amplitude loading and unloading tests, the hysteresis loop could be divided into three phases, namely, sparse, dense, and sparse again, with a shift in the turning point in rock deformation memory effect. As the stress amplitude increased during the test, the damping ratio of the specimens decreased, and the area of the hysteresis loop increased non-linearly. The dynamic elastic modulus decreased first and then increased. The confidence interval for the formula fitted based on the test results was above 97%. Damage to the complex caused by constant-amplitude loading and unloading could be divided into three stages. An increase in peak stress served as a catalyst for the evolution of small cracks within the specimens into median and large cracks, thereby accelerating the damage process.