Triaxial compression tests were conducted on dry and saturated sandstone specimens, with different initial confining pressures of 10, 20, 30, and 40 MPa, under various loading and unloading stress paths. The mechanical response and failure characteristics of dry and saturated sandstones were studied in the triaxial deformation and failure process. The results show that the failure of sandstone under unloading confining pressure tests is more violent than that under conventional triaxial compression tests, particularly for dry sandstones. In triaxial loading and unloading test, the failure mode of rock specimens show a combined tension and shear failure under low confining pressure, and shear failure under high confining pressure in the macroscopic view. The peak strength of specimen increases as the initial confining pressure increasing but the increase rate is decreasing. The difference of peak strength between dry and saturated sandstones grows with the increasing of initial confining pressure. It indicates that the effect of water on rock strength is more obvious under high confining pressure. When the sandstone specimens are saturated by water, both the cohesion and the internal friction angle of the rock reduce. However, the internal friction angle changes more remarkably. The Young’s modulus decreases and the Poisson’s ratio increases when the sandstone specimens are saturated by water.