Red sandstone tests were conducted on the rock mechanics test system to clarify the strength and failure characteristics of red sandstone under triaxial loading and different unloading confining pressure rates. Strength change rules of the red sandstone in various stress spaces were analyzed. Results show that a large initial confining pressure indicates a long yield section and large axial strain. A small unloading confining pressure rate indicates a long yield section and large axial strain at failure under the identical initial confining pressure. The confining pressure reduction increases with the unloading confining pressure rate increasing when the red sandstone fails. The stress path of unloading confining pressure weakens the red sandstone cohesion and strengthens its internal friction angle. The general octahedral shear stress formula for judging whether the red sandstone fails under loading and different unloading rates was acquired on the basis of the octahedral shear stress characteristics of the red sandstone. In addition, a 3D empirical criterion for evaluating the red sandstone strength was constructed through the deviator plane function of Eekelen and the strength envelope curve on the meridian plane. A great initial confining pressure indicates serious internal damage of the red sandstone at failure under the identical unloading rate of confining pressure. A low unloading rate of confining pressure indicates internal serious damage of the red sandstone at failure when the initial confining pressure is the same. The analysis of macroscopic failure characteristics revealed that the stress path significantly influences the failure mechanism of the red sandstone. The results are instructive for determining the stability of underground engineering of the red sandstone.