A series of isotropic and triaxial compression tests was conducted on artificial methane hydrate-bearing fine-grained sediment (HBFS) specimens prepared via the excess-gas method. It is shown that the swelling index decreases and the yield stress increases linearly with the increase of the hydrate saturation, whereas the compression index is practically independent of hydrate saturation. The HBFS generally exhibits strain-hardening behavior, though strain-softening behavior may occur at low confining net stress and high hydrate saturation. The presence of hydrate can increase the stiffness and shear strength of the HBFS to various degrees, depending upon the applied confining net stress. It is revealed that the effect of hydrate cementation on the shear strength is weakened under high confining net stress conditions, owing to the deterioration of hydrate cementation. The hydrate cementation can influence the shear dilatancy of the HBFS, an effect that becomes less pronounced as the applied confining net stress increases. Based on the experimental results, empirical formulations are developed for the yield stress, strength, and shear dilatancy of the HBFS. The experimental results provide a comprehensive dataset for validating the constitutive models of HBFS.