Coal mine underground reservoirs provide a new choice for the protection and utilization of water resources. This paper takes the underground reservoir of Wulanmulun Mine as the background, and takes the MB-1# artificial dam in the goaf of 31104–31116 working face of 3–1 coal seam as the research object. The theoretical model of artificial dam is established by elastic–plastic two-way slab theory, and the theoretical mechanical analysis and calculation are carried out. A similitude physical model for the coal mine underground reservoir was built by using the self-developed nested dual-dynamic-pressure similitude simulation testing system. Later, the mechanical response and deformation failure features of the artificial dam under different water pressure values were analyzed and the ultimate water pressure was determined. In addition, FLAC3D was used to determine the stress-seepage field-coupling model for the artificial dam. Using this model, the influence of water pressure on the multi-load coupling effect of the artificial dam and coal pillar dam was characterized. The dam form is optimized and the safety water level evaluation method of the dam body is proposed. The research results are as follows: (1) Based on the theory of elastic–plastic two-way slab, the theoretical analysis model of artificial dam is established, the expression of the ultimate water level function of artificial dam is derived, and the theoretical ultimate water head is determined to be 18.2 m (2) The seepage law of underground reservoir under different water pressures is obtained, and the ultimate water pressure of the model is determined to be 11.43 kPa. (3) It is clarified that the failure modes of the artificial dam are seepage failure and mechanical failure, and it is revealed that the groove area is the weakest position where the dam is most vulnerable to failure. In view of the failure modes of the dam, the I-shaped structure artificial dam is proposed. (4) A safe water level assessment method is proposed for the constructed artificial dam. According to the analysis of on-site monitoring data of MB-1# dam, the actual water level in the reservoir is within the allowable water level range of the artificial dam, and the whole reservoir is in a stable and relatively safe state at present. The reliability of this assessment method has been verified.