To increase the recovery rate of coal mining operations, the gob-side entry retained (GER) technique has been extensively implemented in China. However, due to the mining-induced macro-cracks in the immediate roof above the roadside backfill area (RBA) under cyclic loading, the roof failure may occur and threaten the safety of GER. Mechanical characterization of rocks is crucial for understanding of the failure mechanism of this roof failure phenomenon. Based on the theoretical analysis and triaxial unloading confining pressure tests with cyclic loading on sandy mudstone, the strain energy evolution and conversion were studied. Results indicate that the total strain energy, elastic strain energy, and plastic-damage strain energy can be divided into various stages during the test. An index was introduced to describe the energy conversation and deformation of damaged rock specimen during the test, which can be expressed as the ratio of the plastic-damage strain energy to the total strain energy. This index increases gradually from the peak point to the post-peak unloading point. Then, it increases sharply from the first axial stress level to the first failure state, and finally decreases from the second axial stress level to the second failure state. Failure patterns of the damaged rock suggest that the macro-shear failure bands are mainly caused by the axial compression, whereas the micro-crack propagation is due to the circumferential expansion. The findings on the strain energy evolution and conversion of the immediate roof under the loading and unloading conditions of GER provides an insightful method to evaluate the roof stability above RBA, which also sheds lights on the GER design in coal mining to prevent the roof failure above RBA.