The shear mechanical properties of rock under high confining stresses are required in deep underground construction projects for stability evaluation. This paper tested the sandstone shear properties under high confining pressures by a novel triaxial direct shear device with a self-balancing structure for both low and high confining pressure. The triaxial direct shear experiments on Zigong sandstone from a deep tunnel were carried out to evaluate its strength and deformability. Our experimental results suggested that the shear stress-displacement curves exhibited two distinct characteristics under different confining pressures. The damaging stage occurs initially and turns wider in the shear stress-displacement curve as the confining pressure exceeds the threshold stress. The confining pressure threshold of Zigong sandstone is observed to be 10–20 MPa. Meanwhile, a statistical damage model based on Beta distribution was proposed to describe the shear stress (cohesion contribution) during the whole shearing process, which demonstrates better prediction performance than previously existing models, especially under high confining pressures. This study provides important insights into the high-pressure induced rock shear properties and sheds light on the engineering stability assessment under high stress of tunnels.