To study the mechanical properties and damage mechanisms of rock masses subjected to freeze–thaw cycles under dynamic disturbance, dynamic compression tests were performed on water-saturated sandstone samples subjected to different freeze–thaw cycles and strain rates, and the dynamic strength deterioration and energy evolution characteristics were analyzed. By incorporating Lemaitre's strain equivalence principle, a dynamic damage constitutive model of water-saturated sandstone considering the combined action of freeze–thaw cycling and shock loading was proposed, and its validity was verified. The results indicated that with an increasing number of freeze–thaw cycles, the P-wave velocity, dynamic compressive strength, and elastic modulus of water-saturated sandstone samples gradually decreased. After 120 freeze–thaw cycles, the dynamic compressive strength and elastic modulus at a strain rate of 153.05 s−1 decreased by 21.08 MPa and 3.46 GPa, respectively, compared with those without freeze–thaw cycles. With increasing strain rate, the dynamic compressive strength significantly increased, and the degree of sample fracture progressively intensified. The dissipated energy density showed a positive linear correlation with the strain rate. After 120 freeze–thaw cycles, the dissipated energy density increased from 2.70 J·cm−3 at a strain rate of 153.05 s−1 to 6.36 J·cm−3 at a strain rate of 271.46 s−1. The energy reflectance under shock loading was proposed to define the freeze–thaw destruction variable in terms of the stress wave propagation theory. An exponential negative correlation existed between energy reflectance and dynamic compressive strength. The established constitutive model could effectively reflect the dynamic characteristics of water-saturated sandstone under the combined action of freeze–thaw cycling and shock loading, and the degree of fit with the test curve was high. The research results provide some references for the safe production of surface mines in cold areas under the influence of dynamic loading.