Artificial ground freezing is widely adopted for shaft construction in thick alluvium, yet the mechanical and microstructural responses of surrounding deep clay to freeze–thaw under high pressure remain poorly understood, and the assessment of shaft stability lacks a reliable foundation. Deep clay specimens collected from the Longgu Coal Mine in Shandong Province, China, were subjected to freeze–thaw (FT) under high-pressure and triaxial shear tests under varied initial liquidity indices, confining pressures and freezing temperatures. Particle-size distribution and pore structure were further characterized. Unfrozen specimens show strain-softening behavior and localized shear failure, whereas most FT specimens exhibit strain-hardening responses with bulging-dominated plastic failure, accompanied by a 29–69% reduction in shear strength. A predominant pore-size range remains 2–10 nm, whereas the specific surface area decreases and the average pore diameter increases. Under high stress, freeze–thaw induced particle refinement and pore reconstruction, which is proposed as a key mechanism contributing to strength loss of deep clay. The microstructural evolution and performance degradation of deep clay under the tested conditions correlate strongly with its initial physico-mechanical state. These findings provide a theoretical basis for evaluating shaft-wall stability and mitigating freeze–thaw damage during shaft construction using artificial ground freezing in deep alluvial strata.