Low-porosity tight rocks are widely used as building and engineering materials. The freeze–thaw cycle is a common weathering effect that damages building materials in cold climates. Tight rocks are generally supposed to be highly frost-resistant; thus, studies on frost damage in tight sandstone are rare. In this study, we investigated the deterioration in mechanical properties and changes in P-wave velocity with freeze–thaw cycles in a tight sandstone. We also studied changes to its pore structure using nuclear magnetic resonance (NMR) technology. The results demonstrate that, with increasing freeze–thaw cycles, (1) the mechanical strength (uniaxial compressive, tensile, shear strengths) exhibits a similar decreasing trend, while (2) the P-wave velocity and total pore volume do not obviously increase or decrease. (3) Nanopores account for >70% of the pores in tight sandstone but do not change greatly with freeze–thaw cycles; however, the micropore volume has a continuously increasing trend that corresponds to the decay in mechanical properties. We calculated the pressure-dependent freezing points in pores of different diameters, finding that water in nanopores (diameter 5.9 nm control the evolution of frost damage in tight sandstone. We suggest that pore ice grows from larger pores into smaller ones, generating excess pressure that causes frost damage in micropores and then nanopores, which is manifested in the decrease in mechanical properties.