The Split-Hopkinson pressure bar test system with the MTS652.02 high temperature furnace and the 50 mm diameter are used to investigate the dynamic tensile mechanical properties of coal sandstone for the first time. Brazilian tests at high loading rates are conducted at ambient temperature and after heat treatment at 800°C. The effect of the strain rate on the tensile mechanical properties is analyzed using the SEM. The results show that after heat treatment at 800°C, the dynamic indirect tensile strength of sandstone increases with the increase of strain rate. Due to the effect of thermal melting and evaporation, after treatment at 800°C, the edges of the internal cracks in the sandstone become rough and lead to more defects. This makes the dynamic indirect tensile strength of the samples at room temperature greater than that at high temperature under the same strain rate. After heat treatment at 800°C, as the strain rate increases, the damage morphology of sandstone changes from large arc-shaped unilateral tensile faces to small granular detrital fragments; the extent of damage gradually increases at the same time.