Ultra-high performance concrete (UHPC) with excellent durability has broad application prospects in improving the durability of reinforced concrete (RC) structures. To clarify the influence of freeze–thaw cycles on the axial compression performance of UHPC-RC composite columns, axial compression tests were carried out on composite columns with different cycles (0, 100, 200, 300 cycles) and stirrup spacing (35, 70, 105 mm). The results showed that the UHPC shell did not fall off when the composite column was destroyed, even in the freeze–thaw environment. Under the action of freeze–thaw cycles, the peak load Nu,t and initial elastic modulus E of the composite column decreased, but the ductility coefficient μ increased. Increasing the stirrup spacing could significantly improve the ductility of the composite column. After 100 freeze–thaw cycles, the ductility coefficient μ of the 35 mm stirrup spacing specimen was 112.6% higher than that of the 105 mm specimen. A prediction model for the bearing capacity of UHPC-RC composite columns under freeze–thaw cycles was established, and the predicted results were in good agreement with the experimental results. This study lays a theoretical and experimental foundation for the application and design of UHPC-RC composite columns in the freeze–thaw environment.