Exploring the characteristics of the instability and failure processes of gas-bearing coal and rock is crucial for monitoring and predicting mine gas accidents. Thus, a real gas environment was simulated based on a self-developed gas–solid coupling infrared observation system. The acoustic–thermal response characteristics and failure mode of the gas-bearing coal–rock composite structure were studied. The results showed the following: (1) From the plastic stage, the average infrared radiation temperature of the coal increased significantly. The variances of differential infrared temperature (VDIRT) of the combination and coal started to mutate approximately 30 s before the peak, and the b value of the combination began to fluctuate frequently, while the VDIRT of rock remained approximately 2.128 × 10−4 throughout the process. (2) When stress was about to peak, a clear temperature boundary formed between coal and rock. Acoustic emissions with high energy were mainly concentrated at the interface and inside the coal. (3) The early plastic stage was dominated by high-frequency, low-amplitude events. In the post-peak stage and late plastic stage, the proportion of events with 80–90 dB amplitude rose, and there was a significant increase in low-frequency, high-amplitude events. (4) As the loading proceeded, the density and area gradually increased and tended to move toward the shear crack region. The distribution range of the rise time/amplitude expanded from 0–12 ms/V at the beginning of the loading to the range of 0–60 ms/V in the post-peak stage.