The rock load acting on the lining of an underground excavation is influenced by multiple factors, including rock type, rock mass condition, depth, and construction method. This study focuses on quantifying the magnitude and distribution of the radial loads on the lining of a deep shaft constructed in hard rock by the so-called short-step method. The blasting-induced damage zone (BDZ) around the shaft was characterized using ultrasonic testing and incorporated into the convergence-confinement method (CCM) and 3D numerical analyses to assess the impact of BDZ on rock loading against the liner. The results show that excavation blasting of shafts is an important controlling factor for the degradation of the rock mass, while the orientation and magnitude of the principal stress had a minimal influence on the distribution of blast-induced damage. The analysis shows that increasing the depth of blast damage in the walls can increase the loads acting on the lining, and the shear loads acting on the liner could be significant for shafts sunk by the short-step method in an area with anisotropic in situ stresses.