Coal-fired slag concrete is gradually used in underground projects such as coal mines. Due to the differences between concrete composites and rocks, the failure of coal-fired slag concrete cannot be predicted from the essence through the stress–strain curve. However, studying the deformation and failure law of concrete from the perspective of energy can be closer to the essence of concrete deformation and failure. Therefore, in this paper, with the help of RLJW-2000 testing machine, the uniaxial compression test of C15 strength grade coal-fired slag concrete is carried out, the energy evolution law in the process of deformation and failure of coal-fired slag concrete is analyzed, and the failure criterion based on energy consumption ratio is established. The results show that with the increase of slag-cement ratio, the total energy and elastic strain energy at the peak point gradually decrease. The evolution of peak energy density satisfies the exponential function relation with e as the base. The process that the elastic energy consumption ratio changes from the stable state tending to 0 to the beginning of growth, or the process that the elastic energy consumption ratio changes from negative value to 0, and then gradually increases to positive value can be used as the energy criterion for the strength failure of coal-fired slag concrete. The research results can essentially analyze the instability and failure of coal-fired slag concrete, which is of great significance to ensure the safety of coal-fired slag concrete in engineering application.