The mechanical characteristics and fracture mechanisms of rocks are usually affected by water–rock interaction. This study conducted uniaxial compression tests on sandstone to analyse the variation law of its mechanical properties and macroscopic failure morphology for various water contents. Furthermore, the relationships between the roughness of the crystal fracture surface and mechanical properties were discussed based on the scanning electron microscope (SEM) fracture morphology. The development of an internal fracture in sandstone was described using acoustic emission (AE) and low-field nuclear magnetic resonance (NMR) techniques, and the response mechanism and controlled factors of an AE dominant frequency–amplitude signal were revealed. Results reveal that the uniaxial compressive strength and elastic modulus of sandstone exhibit a nonlinear decreasing trend with an increase in water content. The deterioration to the sandstone structure by water is divided into three periods: intense, stable growth, and calm. The macroscopic fracture shape of sandstone gradually changes from single-shear failure to axial-split failure, whereas the roughness of the crystal fracture surface positively correlated with the water content, with the mechanical strength negatively correlating. Four response mechanisms of the AE spectrum exist in sandstone fracture process: sliding friction between the mineral particles or crystal fracture (transgranular or intergranular crack) corresponds to the LF–LA signal, friction of microcracks corresponds to the IF–LA signal, fracture of microcracks corresponds to the HF–LA signal, and large-scale macroscopic cracks correspond to the LF–HA signal. Moreover, the characteristics of the AE dominant frequency–amplitude signal are affected by the mineral composition and pore structure of sandstone. This study can enrich the existing research literature on sandstone damage characteristics in water-bearing state and provide new perspectives and approaches for quantitatively describing the fracture mechanism of rock.