This research aims to evaluate the influences of the freeze-thaw (F-T) effect on the energy dissipation mechanism and damage evolution characteristics of muddy siltstones containing initial damage. At first, four initial damage levels were achieved by applying different impact loads to the intact rock, and the damage stresses for levels I, II, III, and IV initial damage were 9.80 Mpa, 17.00 Mpa, 23.34 Mpa, and 32.54 Mpa, respectively. Then dynamic compression tests were conducted on the muddy siltstones containing initial damage after 0, 5, 10, 15, 20, 25, 30, and 40 F-T cycles in the temperature range from -20 to 20 °C. The damage variable of the muddy siltstones was determined by studying energy distribution during fracture of the rock. The damage evolution characteristics of the muddy siltstone containing initial damage under the F-T effect were explored combined with the fractal theory. Test results show that (1) the dynamic compressive strength of the muddy siltstones decreases exponentially with the increasing number of F-T cycles; the dynamic compressive strength of muddy siltstone with different initial damage decreased by 54.9%, 48.4%, 39.4%, 42.5%, and 44.5% after 40 freeze-thaws, respectively, compared with that of intact. (2) The absorbed energy, reflected energy, and transmitted energy of the muddy siltstones subject to different levels of initial damage exhibit step-like changes under the effect of F-T cycles and the rate of decrease in absorbed energy decreases in the late stage of F-T cycles. (3) Both the damage variable and the fractal dimension of the muddy siltstones show an increasing trend with an increase in the number of F-T cycles, and it is more difficult for damage to become superimposed as the damage accumulates to that range causing fatigue (the damage variables ranged from 0.73 to 0.97) while the fractal dimension of the fracture surfaces in the rock still increases. (4) With the gradual increase in the damage variable, the energy absorption density of the rock is negatively correlated with the fractal dimension of the rock fragments.