Based on a practical project environment, in this study, we studied the failure mechanism of a sandy soil embankment subjected to freeze-thaw cycles, and introduced a novel moisture-transfer test device. We used this device to measure the space-time distribution of the temperature, water, and stress fields of typical sandy soil specimens from the main dike of the Heilongjiang River during freeze-thaw cycles. The test results show that the damage to the embankment is related to its uneven settlement. We found the change in the water content gradient to be due to the temperature change, which changes the stress field, and the water content and temperature gradients have a linear relation. The stress increases at the top of the soil column during the initial freezing period and decreases after it has stabilized, with the stable freezing depth occurring at about 1 m.