During the construction of mine shafts in western region of China, the rock mass in frozen wall undergoes coupling effect of temperature and stress, subsequently the rock mass deteriorates and its permeability increases. Freeze-thaw tests were carried out on fifteen rock samples (five groups) cut from water-rich sandstones retrieved from underground depth of 500 m in a coal mine in Ordos China, under the confining pressure of 0 MPa, 4 MPa, 8 MPa, 12 MPa, separately and the temperature varying from −20 °C to 20 °C. All samples were scanned using high precision industrial CT (Computed Tomography) scanner before and after testing. The micro-scale pore structure changes during freeze-thaw process were studied using three-dimensional digital rock technology. It was observed that with the increase of confining pressure, the damage of Mesozoic water-rich sandstone increases, e.g., the porosity increases by 4.05%, 5.87%, 7.02% and 9.09% as the confining pressure increases from 0 MPa to 12 MPa. Despite the different confining pressure, the pore radius for all the samples before and after freeze-thaw test falls in the range of 0–340 μm with more than 70% in the range of 0–60 μm. The deterioration caused by freeze-thaw process is mainly reflected by the increase of pores with radius of 0–40 μm; the proportion of pores with radius of 0–20 μm and 20–40 μm increases by at least 32% and 20%, depending on the magnitude of confining pressure.