In China's cold region water conservancy and hydropower projects, the contact interface between the dam and the reservoir bank rock is prone to cracking under external loading and freeze–thaw action, which may lead to dam-bank failure and damage and cause engineering disasters. The NMR (Nuclear Magnetic Resonance) tests and uniaxial compression tests of concrete, sandstone, and sandstone-concrete composite after different numbers of freeze–thaw cycles were carried out to analyze the pore structure development and uniaxial compression mechanical properties of the three types of specimens under different numbers of freeze–thaw cycles. The results show that freeze–thaw cycling promotes the development of pores in sandstone and concrete, and sandstone is more sensitive to low-temperature freeze–thaw than concrete. The UCS (uniaxial compressive strength) of the sandstone-concrete binary changed in a V-shaped with the increase of the dip angle of the cemented interface, and the angle had no obvious effect on the microscopic pores. The freeze–thaw effect on the deterioration of the microscopic pore structure and mechanical properties of the sandstone-concrete binary has a similar effect pattern, in which the deterioration rate of porosity and compressive strength is faster in the early freeze–thaw period, slower in the middle period, and increases in the later period compared with the middle period, but the increase is smaller than that in the early period of freeze–thaw. In addition, the relationship between the porosity and UCS of the sandstone-concrete binary under the freeze–thaw cycle environment is a quadratic parabola.