During mining activities, the deformation and damage of coal rock materials might result in coal rock dynamic disasters, such as rock burst. It leads to serious casualties and property losses. Generally, the occurrence of dynamic failure of coal and rock are caused by shear failure of coal seam. Geophysics signals are generated and related to damage evolution in this loading process. In this paper, sandstone samples were subjected to shear failure laboratory experiments, and the electric-magnetic-acoustic signal regularity was measured and analyzed comparatively. The results indicated magnetic signals were more correlated with stress and acoustic emission (AE) signals, while the amplitude of electric signal fluctuation was larger when main failure occurred. With the increase of sample size and shear strength, the strength of electric-magnetic-acoustic signals increased. The correlation coefficients between the magnetic signal and stress as well as AE energy were superior to those of electric signals. The coupling model between AE and electric signals was established, which shows good statistical correlation. This study lays the foundations for further interpreting the generation mechanism of the electric signal. It provides a new method to indicate the damage evolution of coal rock materials.