In this paper, the split Hopkinson pressure bar (SHPB) equipment was adopted to investigate the dynamic compressive mechanical properties of C40 concrete under various loading speeds after freeze–thaw cycles. The range of freeze–thaw times was 0 to 125 times. The range of loading speed was 4 to 10 m/s, and the tested peak strain rate ranged from 39.87 to 163.35 s−1. During the experiment, pulse shaper and lubricating oil were applied to make the test results more accurate. Based on the obtained results, this paper discussed two fundamental assumptions of one-dimensional wave propagation and dynamic stress equilibrium. A general equation was developed to express the dynamic compressive strength in dependency of the freeze–thaw times. The test results showed that the dynamic compressive strength of concrete increased first and then decreased with the increase of freeze–thaw times. The dynamic compressive strength also increased gradually with the increase of loading velocity. In addition, this paper discussed the difference and relationship between failure patterns of specimens and revealed the changing rules of stress versus strain curve, dynamic compressive strength, and dynamic impact factor (DIF). Two influence coefficients were introduced to quantify the effects of freeze–thaw damage and hydration on the dynamic compressive strength. Theory of statistical damage and Weibull distribution were employed to establish a constitutive model of freeze–thaw concrete. The results showed that the model can effectively describe the dynamic compressive mechanical responses of freeze–thaw concrete under impact loading, and gave some suggestions to concrete structural design, structural health detection, structural performance evaluation and so on in cold areas.