To investigate the deterioration patterns of concrete performance under different numbers of freeze–thaw cycles (F-T cycles) with varying water-to-binder ratios, steel fiber (SF) contents, and fly ash contents, freeze–thaw tests were conducted on concrete specimens incorporating different volume fractions of steel fibers and fly ash at various water-to-binder ratios and subjected to different numbers of freeze–thaw cycles. The results indicate that: (1) F-T cycles led to the deterioration of the internal structure of steel fiber-reinforced fly ash concrete, significantly reducing its mass and relative dynamic elastic modulus (RDEM), as well as degrading its overall mechanical performance. (2) With increasing steel fiber and fly ash contents, the mass loss rate initially increased and then decreased. (3) As the water-to-binder ratio (w/c) increased, the mass loss first rose and then declined. The compressive strength decreased from 32.95 MPa to 19.75 MPa. The optimal performance was achieved at a water-to-binder ratio (w/c) of 0.32 and a steel fiber volume fraction of 2%; the axial compressive strength of the specimen reached 32.95 MPa and the splitting tensile strength reached 4.26 MPa. (4) A freeze–thaw damage regression model based on the relative dynamic elastic modulus (goodness-of-fit > 0.95) can accurately reflect the regularity of mechanical properties. The study can provide a reference for engineering applications of steel fiber concrete in cold regions.