To comprehensively understand the differences in mechanical behavior of coal during the mining process at different depths, cyclic triaxial loading and unloading (CTLU) experiments with acoustic emission (AE) monitoring were performed on coal samples collected at 5 depths (300, 600, 700, 850 and 1050 m). The results showed that with increasing depth, the strength and deformation of the coal increased, the evolution of the Poisson's ratio presented a nonlinear increase, the evolution of the elastic modulus gradually changed from “first stable and then decreasing” at shallow depths to a “continuous decrease” at deep depths, and the plastic deformation and progressive damage characteristics of the coal became more significant. The AE evolution characteristics of the studied coal samples were analyzed in detail, and the depth differences of coal failure mechanisms were revealed through a comprehensive analysis of combined AE parameters and the spatial aggregation characteristics of the microcracks. The failure of the shallow coal samples was mainly controlled by tensile cracking, while that of the deep coal samples was controlled by shear cracking. Meanwhile, the energy evolution and partition characteristics of the studied coal samples were investigated; clearly, with increasing depth, the storage capacity of the elastic strain energy increased, the release of which became more incomplete, and the mutation point of the energy conversion process was relatively advanced. Additionally, the change in the coal damage evolution with depth was studied based on the cumulative dissipated energy; it was found that the damage development process of deeper coal was slower, but the damage degree was more serious. Finally, an improved damage model considering the depth effect was established based on strain energy, and the model prediction curves agreed well with the testing values.