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Studying the thermal damage constitutive model of rock using statistical theory can better reflect the damage evolution process and the stress–strain relationship of rock under temperature and loading, which is one of the key problems especially in deep rock mechanics. The thermal-mechanical coupling damage constitutive model of rock is established using the Hoek–Brown strength criterion, based on the Weibull distribution and the continuous damage theory. The rationality of the model is also verified by experiments. The main conclusions are as follows. The stress–strain curves of rock can be divided into four stages according to the damage evolution characteristics, including the non-damage of loading, damage stability expansion, damage intensification expansion, and damage stability expansion to saturation, and the method of determining the demarcation points of each stage is given clearly. The initial damage point of the rock is about 25% of the peak stress, the damage value is about 0.3 when the rock reaches the peak stress and about 0.6 when reaches the residual stress. Both the damage value and the strain energy release rate of the rock corresponding to the peak stress show exponential growth with the increase in confining pressure. The maximum damage evolution rate of the rock shows exponential decay as the confining pressure rises, indicating that the confining pressure can delay the development of cumulative damage. The modified damage constitutive model considering compaction coefficient is in good agreement with the test curves in the stage of compaction, linear elasticity, yield, and pre-peak strength. It is hoped that through the research of this paper, it can provide references for studying the macroscopic mechanical response from the damage propagation characteristics of the rock in the future.