The experimental study of fatigue damage to coal under cyclic loading is important for guiding the design of pillars in underground coal mines where the pillars may be affected by repeated mining activity. In this paper, the strength, deformation, energy dissipation, and fatigue of samples of coal from a mine in China are studied using cyclic loading with a servo-controlled rock mechanical test system. The results indicate that coal is more likely to suffer fatigue damage than other, harder, rock lithologies. Under uniaxial cyclic loading, the fatigue failure “threshold value” for the coal samples studied is less than 78% of its uniaxial strength, but there is also a certain amount of fatigue damage when the cyclic loading/unloading experiments are carried out below the threshold value for fatigue failure. Axial deformation during the tests can be divided into three stages: initial deformation, constant steady deformation, and accelerated deformation. Transversal deformation can be divided into two stages: stable deformation and accelerated deformation. During cyclic loading experiments, imminent sample failure is signaled when transversal deformation increases significantly and quickly and the deformation recovers little when the load is removed. With an increasing number of loading/unloading cycles, a graph of energy dissipation per unit volume versus number of cycles presents an L-shaped curve when the coal samples do not suffer fatigue failure. However, for the coal samples that do rupture due to fatigue, the curve is U-shaped. Under cyclic loading, the evolution of compaction, strain hardening, strain softening, and failure of coal can be revealed in great detail by fatigue damage experiments.