In order to study the shear behavior of the interface between sand and structure, a series of shear tests were carried out using an HJ-1 ring shear apparatus (Nanjing, China). First, through the monotonic shear tests, the loose sand and dense sand were sheared at the steel interface with different roughnesses. The results showed that when the interface was relatively smooth, the shear stress–shear displacement curves of loose sand and dense sand both exhibit strain hardening characteristics. When the interface was rough, the dense sand showed strain softening. The initial shear stiffness of the sand–steel interface increased with the increase in normal stress, interface roughness, or sand relative density. Then, considering the influence of initial shear stress, through the cyclic shear test, this work analyzed the shape of the loading and unloading curves and the development law of cumulative normal deformation, and discussed the change of loading and unloading shear stiffness under different stress level amplitudes and the residual deformation generated during the cycle. The research results showed that loose sand and dense sand generally shrunk in volume during the cycle. The initial loading process was similar to the case of static loading. In the later dynamic loading process, the shear shrinkage per cycle was relatively small and continued to develop. Additionally, it was found that the unloading stiffness of the sand–steel interface is always greater than the initial loading stiffness. As the number of cycles increases, the loading stiffness increases, and it may eventually approach the unloading stiffness.