To better understand the physical and mechanical behavior of weakly cemented rock with different moisture contents for the success of water-preserved mining, this paper presents the systematic tri-axial compression tests on three typical rock samples (i.e., mudstone, sandstone, and sandy mudstone) sampled from Ili mining area, where the environmental requirements for water conservation are significantly strict. Both the influences of moisture content and confining pressure on the failure mode and the stress-strain behavior of weakly cemented rock have been discussed and compared with each other. Test results showed that: (1) compared to sandstone and sandy mudstone, both the peak stress and residual stress of the weakly cemented mudstone are much more sensitive to confining pressure and moisture content. In detail, the peak stress is very relevant to moisture content, whereas, the residual stress is more sensitive to the confining pressure, (2) with the increase of moisture content, both the yield and ductility of weakly cemented mudstone have been significantly enhanced. However, a similar experimental observation has been found for sandstone and sandy mudstone, and (3) the microstructure and the mineral component are believed to be the two main factors leading to the scatter in terms of the stress-strain behavior for different weakly cemented rocks. Experimental results and discussions presented in this paper can provide the guideline for further research on the application of water-preserved mining in other coal mines with a similar geological condition.