Abstract: Artificial ground freezing (AGF) method for shaft sinking represents a primary technique for wellbore construction in coal-bearing strata in western China. Investigating the thermo-mechanical properties of frozen rocks in these strata is essential for the design of freezing schemes, analysis of the evolution behavior of frozen wall physical fields, and ensuring safe and efficient mine construction. In this study, eight typical bedrock samples from western mining areas—including Bayangao Le, Shazhangtu, and Gaojiabu—were subjected to physical and mechanical tests at three subzero temperature levels: −5, −10, −15 ℃. A total of eleven parameters, including thermal conductivity, specific heat, frost heave force, cohesion, and internal friction angle, were obtained and systematically analyzed. Experimental results indicate that the thermal conductivity of frozen rocks increases with decreasing temperature, whereas the specific heat exhibits a decreasing trend. These variations in thermophysical parameters are governed by the water–ice phase transition. The uniaxial compressive strength and elastic modulus of the frozen rocks increase linearly with decreasing temperature. In contrast, cohesion and internal friction angle display a declining trend as temperature drops. Meanwhile, both frost heave force and frost heave rate demonstrate a nonlinear increase with temperature variation. The creep behavior of the frozen rocks conforms to a power-law model, and the established creep equation accurately captures its time-dependent deformation characteristics. Compared with conventional sandstone, although the subzero environment significantly enhances thermal conductivity, specific heat, elastic modulus, and Poisson's ratio, the uniaxial compressive strength and shear strength of the studied rocks remain relatively low. This reveals the coupled mechanism of low-temperature strengthening and structural weakening coexisting in frozen rocks. A set of multi-parameter relational functions was developed, enabling quantitative characterization of the physical and mechanical behavior of frozen rocks. The findings are expected to provide valuable references for the layout of freezing pipes, analysis of the stress and temperature field evolution in frozen walls, and wellbore stability control in AGF-based shaft construction in western coal mines.