When water damage occurs in a mine, variations in the immersion levels of tunnels at different burial depths can be observed. There is a significant relationship between the stability of the surrounding rock and the depth of immersion. Therefore, studying the deformation and damage characteristics of sandstone with circular holes at varying immersion depths, along with their acoustic properties, plays a crucial role in maintaining the stability of water-rich roadways. The TAW-2000 press and static strain system were utilized to investigate the mechanical properties, crack evolution, and deformation field distribution of sandstone with circular holes at varying immersion depths. Additionally, this study analyzed the impact of immersion depth on the characteristic parameters of acoustic emission. The results indicate that immersion depth is negatively correlated with the compressive strength and modulus of elasticity of sandstone; as immersion depth increases, the duration of the compression and yield phases of the rock samples also increases, while the duration of the elastic phase remains relatively unaffected. Furthermore, greater immersion depths correspond to a decrease in the total number of cracks, although the proportion of tensile cracks increases, making the formation of secondary cracks less likely. The frequency of acoustic emission events (transient elastic waves generated by the formation, extension, or closure of tiny cracks within the rock) shows a closely correlated dynamic with the stress–time curve of the rock sample. The acoustic emission ringing counts generated by rock samples under submerged water conditions tend to stabilize with a slight increase before signs of rupture appear. Additionally, the cumulative total energy of acoustic emissions from the rock samples decreases as the water level rises. These research findings provide significant reference value for addressing issues related to water immersion and the extent of water saturation in roadways within rock engineering.