To explore the influence of confining pressure on the energy evolution characteristics of loaded rocks, triaxial cyclic loading-unloading experiments on sandstones were carried out under 6 kinds of confining pressures using the axial loading and circumferential deforming control modes. Total energy density, elastic energy density, and dissipated energy density absorbed by rock specimens under different confining pressures were obtained. The confining pressure effect of the evolution process and distribution law in energy accumulation and dissipation was analyzed. Energy conversion mechanism from rock deformation to failure was revealed, and energy conversion equations in different stress-strain stages were established. The method of representing the rock energy accumulation, dissipation, and release behaviors by energy storage limit density, maximum dissipated energy density, and residual elastic energy density was established. The rock showed that, with the increase of confining pressure, the characteristic energy density of rock increased in the power exponent form, and the energy storage limit density increased faster than the maximum dissipated energy density. The greater the confining pressure was, the greater the proportion of elastic energy before peak was. It is indicated that the confining pressure increased the energy inputting intensity, improved the energy accumulating efficiency, and inhibited the energy releasing degree.