Exploring the temperature response and deformation characteristics of coal during the freeze–thaw process is crucial for maintaining coal seam stability under liquid nitrogen (LN2) treatment and enhancing gas extraction efficiency. This study investigates the temperature diffusion and deformation characteristics of coal during LN2 cyclic freeze–thaw processes, using saturated and dry anthracite samples. Real-time monitoring of the freeze–thaw characteristics of the anthracite samples was conducted using temperature and strain detectors to quantitatively analyze the evolution of coal temperature and strain. Additionally, a nuclear magnetic resonance (NMR) testing system was used to monitor the pore evolution characteristics of the coal before and after LN2 treatment. The results indicate: After LN2 cyclic freeze–thaw, the internal pores of the saturated samples were highly developed, and fracture connectivity was enhanced, whereas the pores in the dry samples significantly decreased, leading to a sharp reduction in overall connectivity. The cooling and heating rates of the saturated samples were higher than those of the dry samples, both exhibiting exponential trends. This variation is primarily due to the phase change of pore water and the formation and expansion of the internal fracture network within the coal. The deformation magnitude of both sample types showed an overall exponential decline, with the saturated samples exhibiting higher deformation magnitudes than the dry samples. The presence of fracture water not only accelerates coal deterioration during the freeze–thaw process but also enhances coal cementation, maintaining deformation stability. Furthermore, this paper derives a temperature-strain coupling model for coal subjected to LN2 F-T cycles, aiming to provide a reference for understanding the freeze–thaw damage mechanism of coal and the practical application of LN2 fracturing.