In cold regions, the crack propagation and coalescence behaviors of frozen rocks with ice-filled flaws are very complex. Research on the failure mechanisms of such rock masses is essential to ensure the structural safety of geological engineering in low-temperature environments. Therefore, a fully coupled thermo-mechanical model considering the frost heave effect was constructed using the ordinary state-based peridynamic (OSBPD) theory, and the cracking characteristics of frozen rocks were analyzed. The constitutive equations of the OSBPD model were modified by introducing the coupling term for the thermal-structural interaction and an equivalent pressure density term for frost heave. An improved global convergence criterion was also proposed to achieve a fast convergence to the numerical solution. The correctness and validity of the proposed coupling model were confirmed using several numerical examples. Additionally, the effect of frost heave pressure on the cracking behavior and mechanical properties of frozen rocks was thoroughly discussed. The results show that (a) the frost heave pressure drives the rock to crack along the direction of prefabricated flaws, and (b) the ultimate compressive strength of frozen rocks exhibits a decreasing trend with an increase in frost heave pressure.