The aim of this study is to correlate the mechanical properties with rock burial depth. For this purpose, a series of sandstone specimens with burial depth varying from 460 to 900 m were collected from the same rock stratum in six coal mines of Huainan coalfield, China. Experimental results indicate that rock mechanical parameters (including tensile strength, uniaxial compressive strength (UCS), elastic modulus, cohesion, and internal friction angle) increase as the specimen burial depth increases. Empirical models describing the relationships between mechanical parameters and burial depth were established. Furthermore, the micro-mechanism behind the effect of burial depth on strength was investigated via XRD and SEM. The results show that a deeper burial depth is associated with a higher quartz content and a lower porosity. This is caused both by an increased effective stress and by temperature and is related to the secondary diagenesis process, which can result in increase in UCS and tensile strength. Finally, the empirical models were validated by four specimens with different burial depths.