Weathering of Yungang Grottoes sandstone is significant under freeze-thaw conditions. To understand the change of damage and weathering degree of sandstone under freeze-thaw, this study simulates the weathering process of Yungang Grottoes sandstone by indoor freeze-thaw cycle tests. Sandstone with different weathering degrees can be obtained by setting different freeze-thaw cycle times under saturated conditions. Before the start of cycles and after every 5 cycles, a number of macroscopic nondestructive testing techniques are used to test the sandstone. Subsequently, the failure characteristics, and changes of physical and mechanical properties of sandstone during the freeze-thaw cycle are obtained. The damage mechanism of internal structure and the reason of property index change are discussed from the macroscopic perspective by combining with microscopic detection technology. Moreover, the weathering degree of sandstone is determined according to the wave velocity ratio. The results indicate particle disintegration of sandstone, which results in the gradual destruction of the structure forming cracks. In addition, the weathering degree of sandstone gradually deepens and the sandstone reaches medium weathering degree after 60 cycles. The results of various detection methods indicate certain regularity: the mass, ultrasonic wave velocity, content of Si and Ca, and compressive strength of sandstone decrease with the increase of freeze-thaw cycles, and the pores of the sandstone are increasing. It is found that a specific correlation exists between the number of freeze-thaw cycles, ultrasonic wave velocity, and compressive strength of sandstone. The formula between the three values is established and can be directly applied.