The existence of mudstone weak interlayers has a significant impact on the stability of open-pit coal mine slopes. Under the combined influence of rainfall and groundwater, the mechanical properties of the mudstone of weak interlayers deteriorate, leading to a local loss of bearing capacity of the slope and further accelerating the overall instability of the slope. In order to investigate the changes of macroscopic and mesoscopic structures, mechanical failure behavior, and the damage evolution mechanism of water-immersed mudstone, non-destructive water immersion experiments and uniaxial compression experiments were conducted. The results indicate that the main causes of macroscopic structure failure of water-immersed mudstone are the initiation, propagation, and mutual penetration of micro cracks. The mesoscopic structure characteristics of water-immersed mudstone are primarily manifested by increased surface smoothness, increased occurrence of small-scale pores, the presence of a dense network of fissures on the surface, and fusion of mineral unit boundaries. With the increasing immersion time, the quality, relative water content, and peak strain increase, while the uniaxial mechanical parameters and energy parameters decrease. In addition, a statistically damaged constitutive model for mudstone considering the coupling damage of water immersion and low-stress loading was established, and the model is consistent with experimental results. Finally, the water-softening characteristics of mudstone are caused by the propensity of clay minerals to expand and disintegrate upon water contact, changes in pore structure, variations in mineral types and distributions, and the presence of pore water pressure. This study provides valuable insights into the water–rock deterioration mechanism of mudstone and the stability of slopes containing weak interlayers.