Frozen soils exhibit unique mechanical behavior due to the coexistence of ice and unfrozen water, making experimental studies essential for engineering applications in cold regions. This review comprehensively examines laboratory investigations on frozen soils under static and dynamic loadings, including uniaxial and triaxial compression, creep, direct shear, and freeze-thaw (F-T) cycle tests. Key findings on stress-strain characteristics, failure mechanisms, and the effects of temperature and time are synthesized. Advancements in microstructural analysis techniques, such as computed tomography (CT), scanning electron microscopy (SEM), nuclear magnetic resonance (NMR), and mercury intrusion porosimetry (MIP), are also summarized to elucidate the internal structural evolution of frozen soils. While significant progress has been made, further efforts are needed to better replicate complex environmental and loading conditions and to fully understand the interactions between multiple influencing factors. Future research should focus on developing novel experimental techniques, establishing standardized testing protocols, and creating a comprehensive database to enhance data accessibility and advance frozen soil research. This review provides critical insights into frozen soil mechanics and supports validating constitutive models and numerical simulations, aiding infrastructure design and construction in cold regions.