The use of liquid nitrogen fracturing can effectively improve the permeability of unconventional natural gas reservoirs. In order to explore the impact of liquid nitrogen cooling on the tensile failure behavior of coal and sandstone, a series of physical and Brazilian splitting tests were conducted on coal and sandstone. Compared with the control group, the velocity, tensile strength, and splitting modulus reduction of coal were 24.7%, 19.7%, and 52.4%, respectively, and the corresponding reductions for sandstone were 5.5%, 14.7%, and 15.4%. Energy analysis and failure characteristics demonstrated that liquid nitrogen cooling promoted widespread distribution of internal damage in coal and sandstone, and the degree of internal structure damage determined the complexity of the failure mode. The greater the internal damage, the more branch cracks occurred during failure, and the greater the path tortuosity and degree of fragmentation.