In deep rock engineering, caverns are often disturbed by engineering loads from different directions. To investigate the dynamic response of deep U-shaped caverns under different incident orientations, a theoretical solution of the dynamic stress concentration factor along the cavern boundary was derived based on the wave function expansion and conformal mapping method, and the failure characteristics around the cavern were further investigated by PFC2D (Particle Flow Code in two dimensions). As the incident orientation increases from 0° to 90°, the dynamic compressive stress concentration area transforms from both the roof and the floor to the sidewalls, and the peak dynamic stress concentration factor of the roof decreases from 2.98 to −0.20. The failure of the floor converts from dynamic compression shear failure to dynamic tensile failure. Compared to a stress wave incident from the curved boundary, a stress wave incident from the flat boundary causes severer damage. When the stress wave is incident from the sidewall, the cavern with a larger height-to-width (h/w) ratio exhibits severer damage. Conversely, the cavern with a smaller h/w ratio tends to fail as the stress wave is incident from the floor. This paper provides a basic understanding of dynamic responses of the deep U-shaped cavern.