Based on the entire loading process of compound coal–rock, test pieces with three different coal/rock ratios (1:3, 1:1, and 3:1) have been constructed and the corresponding cyclic loading experiments have been carried out. Through the experiment, the deformation and failure characteristics of the compound coal–rock samples have been explored and the stage evolution characteristics of energy density have been subsequently analyzed. Ultimately, the relation between deformation failure and the energy evolution mechanism has been established, and thus the reasons behind rock bursts in the coal–rock compounds have been discussed. The experimental results indicate that with the increase in cyclic loading, the stress–strain curve of the compound coal–rock demonstrates a positive shift, whereas the change in the hysteretic curve from dense to sparse results in a “hysteresis expansion”. The increase in the coal body height increases the chance of brittleness failure of the compound coal–rock. The coal body, as the main controlling factor of compound coal–rock failure, generates cracks that expand to the rock body along the juncture of the coal and rock, leading to instability. The energy density evolution curve can be described by a quadratic function. The evolution process is initiated from the slow increase in input energy density and elastic energy density. A large amount of energy is stored through the rapid increase in the density mentioned above. At last, the evolution is completed by a surge in dissipated energy. The energy evolution drives the crack expansions in the compound coal–rock under load. The energy accumulation in the compound coal–rock is increased by the exploitation of the clamping effect of the thick and hard top and bottom plate. The risk of rock burst is intensified by the failure of the coal body because of the energy in the coal–rock system. The study results help to comprehend the energy evolution pattern in the surrounding rock of deep mining roadways and expand the prevention methods for impact ground pressure.