When liquid nitrogen (LN2) comes in contact with the coal seam, the mechanical properties of the coal body will be changed, which can fracture the coal seam and improve the efficiency of coalbed methane extraction. To explore the influence of liquid nitrogen on the mechanical properties of dry and saturated coal, this paper adopts different LN2 treatment methods (freezing 0, 50 min, F-T 10 cycles) to determine the mechanical strength of the coal sample and the ultrasonic longitudinal wave velocity. After a single freezing of LN2 for 50 min, the mechanical properties of the dry and saturated frozen coal samples have been improved. The mechanical strength of the saturated frozen coal samples has increased more than that of the dry state; the freeze–thaw cycle reduces the mechanical strength. The compressive strength has the largest decrease, which is reduced by 45.2%; the wave velocity of the dry coal sample shows a trend of first increasing and then decreasing after different LN2 treatments, but the overall change is small. The water-saturated coal sample increases during a single freezing and decreases during the freeze–thaw cycles, and the lowest wave speed is only 0.821 km/s. By analyzing the changes in mechanical properties, it is concluded that water-saturation treatment can damage its own strength. Short-term freezing can help increase the mechanical strength of coal. Freeze–thaw cycles cause serious deterioration and damage to coal. The increase in the pore volume of coal in the freezing stage is much greater than that in the melting stage.