In the field of rock breaking, considerable challenges, including high power dissipation, dust, and sharp pick wear, can be solved efficiently by using high-pressure water jet assistance during cutting. Hence, a new high-pressure rotary seal device was designed to stably apply the water jet technology to a roadheader for a rotating speed of 50 r/min and a water pressure of 40 MPa. In addition, three types of cutting heads assisted by the water jet, namely, the center water jet cutting head (CWJCH), the front water jet cutting head (FWJCH), and the rear water jet cutting head (RWJCH) were designed and machined by studying the relative position between the pick and the water jet. Comparative tests of the rock-breaking performance were conducted by varying the water pressure on the three cutting heads and an ordinary cutting head (OCH) at the cutting head test bench. The experimental results show that the CWJCH has the characteristics of minor cutting, advanced resistance, and dust concentration; the FWJCH ranks second in rock-breaking performance. However, in removing dust, the performance of the FWJCH is poorer than the RWJCH. Compared to the OCH, for a water pressure of 40 MPa, the reductions in the cutting resistance, advance resistance, and dust concentration are 40.37, 51.53, and 71.44% for the CWJCH; 30.58, 24.06, and 55.66% for the FWJCH; and 16.56, 34.02, and 70.21% for the RWJCH.