To explore the effect of water content on the mechanical properties and fracture characteristics of fractured rock in a freeze-thaw environment, five prefabricated oval double-hole red sandstones with different saturations were prepared, and CT scanning and uniaxial compression tests were carried out after freeze-thaw cycles. By analyzing the mesoscopic evolution law of rock during freeze-thaw cycle and the macroscopic failure characteristics after freeze-thaw cycles and loading, the relationship between macroscopic failure characteristics and meso-evolution was explored. The results show that: (1) After freeze-thaw cycles, microcracks begin to develop at the tips of existing fracture in rocks with saturation ranging from 60% to 100%, and the total volume of microcracks increases with the increase of saturation. In particular, connected microcracks appear in the rock bridge area of completely saturated rocks after 120 freeze-thaw cycles. (2) With the increase in the number of freeze-thaw cycles, the peak strength of rocks with saturation of 60% to 100% decreases linearly. The elastic modulus of rocks with saturation of 60% to 90% decreases linearly, while the fitting curve of elastic modulus of completely saturated rock is “upper convex”. (3) The failure mode of rocks with different saturations is tensile-shear failure in the early stage of freeze-thaw cycle. With the increase in the number of freeze-thaw cycles, the failure mode of completely saturated rock changes from tensile-shear to tensile. (4) After freezing-thawing, the degree of particle cementation is relatively weak in the position where the microcracks develop, and the macroscopic fractures are easy to occur in this position. The evolution process of microcracks affects the macroscopic failure mode. There is a positive linear correlation between the percentage reduction in peak strength and elastic modulus and the percentage increase in fractal dimension of microcracks. This study can provide a theoretical basis for the prediction of freeze-thaw resistance of rock mass engineering in cold regions.