To recycle the coal gangue more economically and effectively, the basalt fiber reinforced polymer (BFRP) and coal gangue concrete (CGC) are combined to form a novel supporting structure in the underground mines, BFRP-confined CGC (FCGC). However, the underground mine environment is rich in sulfate corrosive ions, and meanwhile, the structure is subjected to a high sustained load. Thus, this paper presents an experimental and theoretical investigation on the long-term deformation properties of FCGC under sulfate and high stress conditions. The effects of inner concrete, FRP layer, stress-to-strength ratio, sulfate concentration and load duration time on the shrinkage and creep behavior were clarified in detail. The findings indicate that the shrinkage of FCGC is relatively lower as the BFRP confinement weakens the moisture exchange between inner CGC and external environment. In addition, under sulfate and high stress conditions, the creep strain and specific creep increase continuously in the early stage, while the growth rate gradually slows down in the later stage, where the high stress-to-strength ratio is the key factor. Moreover, when compared with a single high stress condition, the creep strain of FCGC is relatively larger under sulfate and high stress coupling conditions, attributed to the sulfate corrosion on the BFRP wraps. Theoretically, the ACI 209 was modified to predict the nonlinear creep of CGC, by introducing the coal gangue influence coefficient and the increasing coefficient of nonlinear creep. Furthermore, based on the creep model of CGC and BFRP, the nonlinear calculation model of FCGC was developed considering the creep of CGC under a triaxial-stress state and the interaction between inner CGC and BFRP confinement. Validations against the experimental results show that the nonlinear creep model of FCGC works well.