The damage to rock masses due to the action of freezing is one of the most important factors in the development of landscapes, the performance of civil structures, and the efficiency of mining operations. In this research paper, the effect has been studied on the physical and mechanical performance of seven different natural building rock samples. The testing program included an experimental study on both dry and saturated intact rock samples and therefore, the effect of saturation on the extent of damage on the tested samples has been discussed as well. Based on the obtained results, freezing–thawing cycles increase the porosity of rock samples and decrease the values of P-wave velocity, uniaxial compressive strength, elastic modulus, and Brazilian tensile strength. Moreover, the behavior of different rock types differs to some extent when exposed to weathering cycles under dry and saturated conditions. A multivariate linear regression analysis was used to predict the changes in the physical and mechanical properties of different rock types. It was been shown that with some cautions, the obtained correlations can be generalized for practical cases and can be used to predict the change of rock physical and mechanical properties during the lifetime of rock engineering projects. Such predictions have a high potential of applicability in quite different types of natural stone applications in cold climates. From the stability of structures created in rock materials to the durability of structures created by different natural stones.