This paper presents a method for preparing concrete using sea water, sea sand, and spontaneous combustion coal gangue (SCG). The splitting tensile strength, flexural strength, compressive strength, and stress–strain relationship were investigated and micro-structural analysis was performed. Results revealed that the mechanical properties of concrete were significantly influenced by the seawater, sea sand, and SCG. Seawater and sea sand increase the early strength of concrete and decrease the later strength, and the pore structure of SCG can form an internal curing effect, which improved the later strength of concrete. According to the test results obtained by this study and reported in the literature, the elastic modulus and peak strain of the concrete prepared using sea water, sea sand, and SCG were regressed to obtain the relationship with the axial compressive strength. Based on Carreira and Du Pan’s model, a predicted model of the stress–strain relationship is proposed.