The stability and durability of rocks in cold regions are significantly impacted by the degradation of mechanical properties caused by freeze–thaw (F–T) environment. In this work, we shall propose a rational multiscale nonlinear constitutive model based on thermodynamics, micromechanics, and fractional calculus theory to describe the complete deformation and failure process of F–T rocks under triaxial compression. The F–T rocks at the mesoscale are regarded as consisting of porous matrix and cracks, while porous matrix is composed of the micropores and elastic solid grains at the microscale. According to experimental observations, we assume the F–T action mainly causes micropores growth and cracks opening, and mechanical damage is resulted from the initiation and propagation of cracks. In this context, the effects of F–T and mechanical damage on effective elastic properties of rocks can be quantitatively analyzed by using the two-step Mori–Tanaka (M-T) homogenization method. After subtly deriving the total free energy function of F–T rocks under compression, we systematically develop specific criteria for describing open cracks closure deformation, mechanical damage evolution and frictional sliding induced plastic distortion. Note that to correctly capture the plastic deformation characteristics, the non-orthogonal flow rule based on fractional differential calculations is employed. Following that, analytical analyses and numerical implementation of the proposed model are conducted. The performance of the model is evaluated by the simulations with experimental data on two kinds of F–T rocks, and discussions on parameters sensitivity and effects of fractional order are followed.