The W-OH type polyurethane (W-OH) has been proven to be an economical and environmentally friendly slope protection solution for slope maintenance in Pisha sandstone areas. However, the Pisha area belongs to a typical temperate continental climate with large diurnal temperature changes in winter, spring, and autumn and freezing and thawing occurring alternately between days and nights. Under freeze–thaw cycle conditions, the effect of slope treatment largely depends on the interface shear strength between W-OH-treated Pisha sandstone and pristine sandstone. Therefore, this paper studies the interfacial shear strength and long-term durability of Bisha sandstone consolidation (W-OH-treated Pisha sandstone) and Pisha sandstone under freeze–thaw cycles. First, the effects of different W-OH concentrations and different water contents on the freeze–thaw cycle interface were studied using a direct shear test. Based on the experimental results, the W-OH material was further modified with ethylene vinyl acetate (EVA). Finally, the damaged surface of the sample was observed through an ultra-depth-of-field microscope, and the damage mechanism of the interface caused by the freeze–thaw cycles was further discussed. The experimental results show that the peak shear strength at the interface increases with the increase in W-OH concentration and decreases with the increase in freeze–thaw cycles. The cohesion at the interface generally increases with the increase in W-OH concentration and reaches a maximum value of 43.6 kPa when the W-OH concentration is 10%. At the same time, under the condition of high water content, the curing of the W-OH material has no significant effect on the bonding performance of the interface. Using EVA to modify the W-OH material can improve the freeze–thaw durability of the interface. After modification, the interfacial cohesion of the sample increases with the increase in the EVA concentration and can reach 162% of the original. Using an ultra-depth-of-field microscope, it was found that the repeated solidification–melting action of water between the interfaces makes the consolidated body on the damaged surface fall off, resulting in cracks. As the water content between the interfaces increases, the damage to the material is greater. However, the addition of EVA can fill the uncovered pores of W-OH cement, thereby improving the cohesion at the interface and effectively alleviating the freeze–thaw damage caused by the high water content at the interface. The results of this study can provide some theoretical references for slope treatment in the Pisha sandstone area using W-OH materials.