Water existing in micro-pores has tremendous influences on the mechanical and damage characteristics of rocks. This study aims to investigate the micro-pore water effects on the mechanical and damage characteristics of sandstone subjected to different loading configurations, in which four groups of sandstone specimens with different water contents were applied in the conventional uniaxial compression, cyclic loading and unloading experiments. X-ray CT imaging and 3D reconstruction techniques are applied to capture the cracking behaviors under uniaxial compression and cyclic loading–unloading. The digital microstructural variables are defined to describe the characteristics of microstructures and evolution of micro-pore water in rocks. Numerical simulation is applied to study the micro-pore effects on the mechanical properties of rocks. Results show that the specimens are mainly failed by the mixture modes of primary shear cracks and secondary tensile cracks. With increasing mass water content, the uniaxial compressive strength (UCS) decreases and the pore size first decreases, then increases, and finally decreases due to the infiltration of water phase in microstructures. The water content has a negative effect on the mechanical properties, in which the digital porosity and volumetric water content and the micro-pore water saturation have a negative effect on the UCS. In addition, the damage becomes easier near the pores with larger sizes.