In order to explore the size effect of the mechanical and damage characteristics of coal measure sand stones under dynamic load, uniaxial impact compression tests were carried out on coal-bearing sand stones with a diameter of 50 mm and a length–diameter ratio of L/R = 0.5, 0.8, 1, 1.2, 1.5, 1.8, and 2 by using the Hopkinson pressure bar test system. The size effect law of the mechanical properties and energy dissipation of coal-bearing sandstone under a high strain rate were investigated. Then, the mercury injection test was carried out on the fragments at different positions, and the electron microscope scanning test was carried out on the fragments near the end of the transmission rod. Based on the area damage definition method and normalization treatment, the integrity model of coal measure sandstone, considering the influence of the length–diameter ratio, was established. The results showed that the peak strength and dynamic elastic modulus of coal measure sandstone increased first and then decreased with the increase in length–diameter ratio under impact compression load, and they reached the maximum when the length–diameter ratio was 1.2. The dynamic peak strain increased gradually with the increase in length–diameter ratio. The energy of coal-bearing sandstone showed strong size effect, that is, the total absorbed energy, elastic energy, and dissipated energy increased with the increase in length–diameter ratio, and the size effect of total absorbed energy was the most obvious. Under the same impact pressure, the porosity of coal-bearing sand stones with seven kinds of length–diameter ratios near the incident end was roughly the same. But when the length–diameter ratio was greater than 0.5, the porosity decreased gradually with the increase in the distance from the incident end. And the larger the length–diameter ratio, the more obvious the decreasing trend. When the length–diameter ratio was smaller, the size of the holes and cracks and the cluster density were larger. The integrity model of coal measure sandstone, considering the influence of the length–diameter ratio, showed that the larger the length–diameter ratio, the better the relative integrity of coal-bearing sandstone.