The instability and failure of rock that has been frozen and thawed cause serious rock engineering accidents in cold regions. Exploring the precursor information of freeze–thaw rock failure is of great theoretical value and engineering significance. Real-time uniaxial compression acoustic thermal monitoring experiments were conducted on freeze–thaw sandstone, and non-contact rock fracture precursor warning indicators were proposed. According to the coupled analysis of acoustic–thermal monitoring information, a precursor information chain for freeze–thaw rocks was established in time and space, and the spatiotemporal evolution of damage and acoustic thermal effects of freeze–thaw sandstone under compressive load was studied. The freeze–thaw cycle enhances the sensitivity of acoustic–thermal precursor information. Significant synchronous changes in ring count often occur during the rapid expansion period of damage, which can provide an essential reference for the occurrence and intensification of damage. The sequence of precursor warning information during the process of freeze–thaw sandstone compression failure is in the order of thermal infrared temperature → acoustic emission ringing count → acoustic emission energy → infrared thermal image. Thermal infrared temperature and acoustic emission precursor information can help in prioritizing early warning of rock damage in terms of time. At the same time, thermal image anomalies can predict potential fracture areas of rocks.