Overburden collapse and water inrush in mines are primarily caused by rock fractures. Mining safety can be enhanced by monitoring and identifying early signs of coal failure in the mines. This article collected acoustic emission data synchronously throughout a series of uniaxial compression (UC) experiments on natural and water-saturated coal. The influence mechanisms of water, mechanical properties, and acoustic emission signals on the stress–strain curve and the SEM results of water-saturated and dry samples are investigated. As a result, the mechanical properties of coal are not only weakened by water saturation, such as elastic modulus, strain, stress, and compressive strength but also reduced acoustic emissions. In comparison with saturated coal, natural coal has a uniaxial stress of 13.55 MPa and an elastic modulus of 1.245 GPa, while saturated coal has a stress of 8.21 MPa and an elastic modulus of 0.813 GPa. Intergranular fractures are more likely to occur in coal with a high water content, whereas transgranular fractures are less likely to occur in coal with a high water content. An innovative and unique statistical model of coal damage under uniaxial loading has been developed by analyzing the acoustic emission data. Since this technique takes into account the compaction stage, models based on this technique were found to be superior to those based on lognormal or Weibull distributions. A correlation coefficient of greater than 0.956 exists between the piecewise constitutive model and the experimental curve. Statistical damage constitutive models for coal are compatible with this model. Additionally, the model can precisely forecast the stress associated with both natural and saturated coal and can be useful in the prevention of rock-coal disasters in water conditions.