Rock burst is easy to occur in the water-rich roadway of coal mines, which is closely related to the energy dissipation and fracture mechanism of rocks under coupled hydro-mechanical (H-M) unloading. Therefore, in combination with the triaxial loading and unloading process and H-M coupling effect, the mechanical test of layered sandstones under coupled hydro-mechanical unloading (TLUTP) was conducted. The energy dissipation and fracture mechanism were revealed. The results show that: (1) The influence of layered angles on the peak volumetric strain is more sensitive than that of confining pressure under conventional triaxial loading with H-M coupling (CTLTP). On the contrary, the influence of confining pressure on the peak volumetric strain is more sensitive than that of layered angles under TLUTP. (2) With increasing layered angles, the peak elastic energy density under CTLTP shows the “W” shaped evolution characteristic, while that of under TLUTP shows the “N” shaped evolution characteristic. (3) The “Energy Flow” chain is proposed. Meanwhile, combined with the domino effect and the structural evolution theory, the energy dissipation and fracture mechanism of layered sandstones under coupled hydro-mechanical unloading are both revealed. The conclusions obtained can provide certain fundamental theoretical references for the effective prevention of rock burst in a layered water-rich roadway.