Coalbed methane (CBM) recovery using water jet drilling is regarded as a promising technology for high-efficiency, heat-free, and environmentally-friendly development of deep resources. An investigation of the fracture mechanism of coal subjected to a water jet under triaxial stress is essential for the future application of this technology in a deep environment. In this study, the fracture mechanism was discussed, and laboratory experiments were conducted on coal breaking with a water jet under triaxial stress conditions for the first time. The results indicate that there are distinct fracture patterns with/without triaxial stress. With the increase of triaxial stress, the main component of coal failure transitions from tensile failure due to the water wedge to shear failure due to water hammer pressure. The rock-breaking ability of the water jet was impaired significantly under triaxial stress conditions. The tensile fracture zone induced by the water jet was concentrated in the range of 60° of the maximum principal stress direction. Computed tomography (CT) scanning tests were used to document the fracture morphology inside the coal specimens. CT scanning showed that the cracks around the hole were deflected into the direction of maximum principal stress, and the area of the damage caused by the jet decreased with increasing triaxial stress. Three-dimensional (3D) reconstructions of the impacted coal were established based on slice images for visualization. The results revealed that the weak planes in the coal and the triaxial stress were the dominant factors affecting the damage characteristics. When the average stress increased 5 MPa, the radial damage range decreases approximately 58%, and the axial damage range decreases approximately 57%. The damage is concentrated in the jet impact area. These findings provide a reference for the application of water jet technology in deep CBM recovery.