Fine-aggregate source can alter both the load-bearing response and surface scaling of mortar under freezing and thawing, but these responses are often reduced to a single durability ranking. This study compared coal gangue sand mortar (CGM), river sand mortar (RSM), desert sand mortar (DSM), and standard sand mortar (StSM) after 0, 25, and 50 freeze–thaw cycles (FTCs). Compressive strength and mass loss were measured using three replicate specimens per quantitative condition, while post-compression fragments were examined by scanning electron microscopy (SEM). The primary integrative analysis was a parameter-free two-dimensional damage-trajectory map that retained absolute compressive strength and mass loss as separate measured axes; a weighted coupled index was retained only as an auxiliary sensitivity check. Before cycling, the compressive strengths of StSM, RSM, DSM, and CGM were $68.13\pm 0.48$, $53.90\pm 0.39$, $19.47\pm 0.33$, and $6.49\pm 0.07$ MPa, respectively. After 50 FTCs, StSM retained the highest absolute strength ($33.61\pm 0.39$ MPa) and the lowest mass loss ($0.21\pm 0.02\%$), whereas DSM retained $9.91\pm 0.19$ MPa and exhibited the highest mass loss ($17.46\pm 0.05\%$). The StSM trajectory moved primarily toward lower strength with negligible surface-material loss, while DSM moved toward both low residual strength and severe scaling. RSM showed substantial strength reduction followed by later-stage surface loss. CGM followed an atypical trajectory in which measured strength increased to $11.13\pm 0.13$ MPa while mass loss reached $9.67\pm 0.04\%$; because age-matched non-frozen controls were unavailable, this apparent gain cannot be separated from continued hydration and specimen-age effects. The SEM images suggested pores, interfacial discontinuities, cracking, and matrix loosening, although some defects may have been induced or widened by compression. The trajectory representation exposed distinct deterioration modes without arbitrary weighting, whereas the calculated ordering of CGM and RSM in the auxiliary index changed with weighting and normalization choices. The results support reporting absolute residual strength and surface loss jointly when screening alternative fine aggregates for cold-region mortar.