Red-bed soft rock is widely distributed in the upper Yellow River. To investigate the strain-rate effect of saturated red-bed soft rock, a series of triaxial tests was conducted on argillaceous siltstone. Specifically, fifteen samples were tested by controlling confining pressures (5 MPa, 10 MPa, 15 MPa, 20 MPa, and 25 MPa) and strain rates (6.0%/min, 0.6%/min, and 0.06%/min) via triaxial tests, scanning electron microscopy (SEM), X-ray diffraction (XRD), Computed Tomography (CT), and 3D laser scanner. The results show that the peak strength of argillaceous siltstone increases with the rise in strain rate, being highly sensitive to the variation in strain rate under low confining pressure while relatively insensitive under high confining pressure. The tangent modulus of argillaceous siltstone is significantly affected by strain rate, and the influence of strain rate on tangent modulus weakens with the increase in confining pressure. Strain rate exerts an influence on the fracture mode and the shear zone roughness of soft rock. That is, with the increase in strain rate, the roughness increases, and the fracture mode transforms from pure shear fracture to tension–shear coupled fracture. With the increase in confining pressure, the number of shear cracks increases, and the shear surfaces tend to distribute approximately in parallel. The research results provide a scientific reference for the reservoir site selection of pumped storage power station in the upper Yellow River.