In order to reveal the macroscopic and microscopic damage law of sandy loam on the embankment of the Yellow River under freeze-thaw cycles, the changes in the shear strength, the deformation damage characteristics, the development trend of force chain, and the evolution of fabric tensor of sandy loam on the embankment were analyzed by the triaxial shear test and the numerical simulation of the discrete element under different numbers of freeze-thaw cycles. The results showed that freeze-thaw cycles significantly reduced the shear strength of sandy loam and induced the sandy loam to freeze and thaw, with the average loss of shear strength by 24.06% after 15 freeze-thaw cycles. The maximum diameter of the bulging damage zone of sandy loam became smaller after freeze-thaw cycles, and the average decrease of maximum contact force was 26.89%. The normal contact number of fabric tensor increased slightly after the freeze-thaw cycle, the normal contact force group tensor decreased significantly, and the degree of anisotropy was weakened. The strong-contact and full-contact equivalent anisotropies of sandy loam before and after the freeze-thaw cycle were lower than that before the freeze-thaw cycle, and the strong-contact equivalent anisotropy coefficients showed the same as the trend of bias stress change. Based on the discrete element simulation results, a prediction model for the shear strength of embankment sandy loam with the number of freeze-thaw cycles as the control parameter was established, with a better prediction effect.