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Rocks in the deep underground are likely subjected to both hydrostatic confining pressure and dynamic compression–shear load. Thus, accurately characterizing the dynamic properties and failure mechanism of hydrostatically confined rocks under combined compression–shear impacting is crucial for the stability assessment of deep underground rock structures. In this study, on the basis of an improved split Hopkinson pressure bar (SHPB) apparatus, the combined dynamic compression–shear tests are performed on inclined cylindrical sandstone specimens with hydrostatic confining pressures. During the test, the dynamic force balance of rock specimens can be well satisfied using the pulse shaping technique. Our results show that the hydrostatic confining pressure and dynamic loading rate help strengthen the load-carrying capacity of rocks. In contrast, the shear component in the dynamic load limits the dynamic peak stress of rocks. As hydrostatic confining pressure increases, the failure surface based on the Drucker–Prager criterion gradually expands outward. Under dynamic loading, the compressive deformation modulus of rocks decreases with increasing shear component in the dynamic load, contrary to its response to hydrostatic confining pressure. Fragmentation analysis indicates that the hydrostatic confining pressure and the shear component of dynamic loading restrict the fracture behavior of rocks. Besides, as the specimen inclination angle and the hydrostatic confining pressure increase, the failure pattern of rock specimens changes from the tensile-dominated failure with a truncated conical surface to the shear-dominated failure with a single shear plane along its short diagonal. [ABSTRACT FROM AUTHOR]