Freeze–thaw action is a key factor in the deterioration of the dynamic mechanical behavior of rocks in cold regions. This study used yellow sandstone, which is prevalent in the seasonally cold region of Xinjiang, China. The yellow sandstone samples were subjected to various temperatures and a range of freeze–thaw cycles. Impact mechanical tests were performed using a Split Hopkinson Pressure Bar (SHPB) system on the treated samples. The effects of freezing temperature and changes in impact load on the mechanical properties of frozen–thawed sandstone were examined. Additionally, the damage fractal characteristics of the sandstone were analyzed using fractal theory. The results indicate that as the freezing temperature decreases, the stress–strain curves of frozen–thawed specimens exhibit a clear initial compaction stage. The dynamic strength of the specimens decreases with lower freezing temperatures and shows a logarithmic relationship with the loading strain rate; however, the dynamic deformation modulus exhibits no significant correlation with the strain rate. The fractal dimension is positively correlated with the strain rate, indicating that lower freezing temperatures correspond to a higher rate of increase in the fractal dimension. These findings offer valuable insights into the damage deterioration characteristics of frozen–thawed rocks under varying temperature conditions.