To investigate the effect of prefabricated borehole diameter on the dynamic response of coal–rock composite specimens, split Hopkinson pressure bar (SHPB) tests were conducted on specimens without a borehole and with borehole diameters of 4, 6, and 8 mm. Twelve specimens were tested, with three specimens in each group, under a nominal impact pressure of 0.3 MPa. The average strain rates ranged from 19.64 to 22.36 s−1, while the peak strain rates ranged from 29.79 to 33.10 s−1. The group-mean nominal dynamic peak strengths of the 0, 4, 6, and 8 mm groups were 92.87, 94.68, 78.34, and 77.60 MPa, respectively. The peak strain and peak secant modulus both exhibited non-monotonic variations with borehole diameter. The corresponding group-mean net absorbed energies were 33.96, 35.60, 32.16, and 33.05 J, respectively, also showing a non-monotonic variation. Across the four borehole-diameter groups, the group-mean fitted fragmentation parameter ranged from 1.95 to 2.06, while the group-mean characteristic particle size ranged from 6.95 to 7.76 mm. The Weibull statistical damage model provided a good descriptive representation of the nonlinear stress–strain response within the selected fitting interval, with group-mean coefficients of determination ranging from 0.9895 to 0.9969. Overall, the load-bearing, energy, fragmentation, and nonlinear deformation responses varied among the tested borehole-diameter groups, and the different response indicators did not exhibit a uniform monotonic dependence on borehole diameter.