Mudstone is a widely occurring type of rock in deep mining, and it is crucial to understand its failure mechanisms and strength characteristics under the interaction of water and high stress to ensure the stability of deeply buried engineered mudstone. In this study, the composition and the structure of mudstone were obtained, and triaxial tests were conducted on mudstone under five different water contents and four different confining pressures using a triaxial servo press. The variation rules for the peak strength and residual strength were obtained, and the applicability of the strength criteria was analyzed through fitting. The results showed that both the peak strength and the residual strength decreased linearly with increasing water content, with the peak strength decreasing more rapidly. Both the peak strength and the residual strength increased with increasing confining pressure, with the residual strength increasing more rapidly. The decrease in strength was primarily due to the decrease in cohesion, with the cohesion of the peak strength decreasing from 8.40 MPa to 0.94 MPa and the cohesion of the residual strength decreasing from 1.75 MPa to 0.82 MPa. The internal friction angle did not change much, with the internal friction angle of the peak strength decreasing from 41.57° to 37.29° and the internal friction angle of the post-peak strength increasing from 32.35° to 33.28°. For dry and low-water-content mudstone, the peak strength conformed to the Mohr−Coulomb criterion, while for mudstone with a higher water content, the peak strength conformed to the Hoek−Brown criterion. The residual strength conformed to the Hoek−Brown criterion. Under low and medium confining pressures, water played a dominant role in the damage pattern for the fractures produced by the initial damage to the mudstone. Under a high perimeter pressure, water played a guiding role for the fractures produced by the initial damage to the mudstone.