The effect of freeze-thaw on the physical-mechanical properties and fracture behavior of rock under combined compression and shear loading was crucial for revealing the instability mechanism and optimizing the structure design of rock engineering in cold regions. However, there were few reports on the failure behavior of rock treated by freeze-thaw under combined compression and shear loading due to the lack of test equipment. In this work, a novel combined compression and shear test (C-CAST) system was introduced to carry out a series of uniaxial compression tests on saturated yellow sandstone under various inclination angles (θ = 0°, 5°, 10°, and 15°) and the number of freeze-thaw cycles (N = 0, 20, 40, and 60). The test results showed that the P-wave velocity dramatically decreased, while the rock quality and porosity increased gradually as N increased; the peak compression strength and elastic modulus obviously decreased with the increasing θ and N, while the peak shear stress increased gradually with the increasing θ and decreased with the increase of N, indicating that the shear stress component can accelerate the crack propagation and reduce its resistance to deformation. The acoustic emission (AE) results revealed that the change of crack initiation (CI) stress and crack damage (CD) stress with the θ and N had a similar trend as that of the peak compression strength and elastic modulus. Particularly, the CI and CD thresholds at 60 cycles were only 81.31% and 84.47% of that at 0° cycle and indicated a serious freeze-thaw damage phenomenon, which was consistent with the results of scanning electron microscopy (SEM) with the appearance of some large-size damage cracks. The fracture mode of sandstone was dependent on the inclination angle. The failure mode developed from both the tensile mode (0°) and combined tensile-shear mode (5°) to a pure shear failure (10°–15°) with the increasing inclination angle. Meanwhile, the freeze-thaw cycle only had an obvious effect on the failure mode of the specimen at a 5° inclination. Finally, a novel multivariate regression analysis method was used to predict the peak compression strength and elastic modulus based on the initial strength parameters (θ = 0°, N = 0). The study results can provide an important reference for the engineering design of rock subjected to a complex stress environment in cold regions.