In cold-region high-speed railway (HSR) subgrade engineering, coarse-grained soils are commonly used as frost heave prevention fillers. However, coupled water-heat migration during freeze-thaw cycles still induces frost heave. This study innovatively employs a nuclear magnetic resonance (NMR) system to elucidate the hydro-thermal transport mechanisms in coarse-grained soils during freezing. The results reveal that under identical temperature and freezing duration, high-water-content soils release substantial latent heat from pore water freezing, resulting in higher freezing zone temperatures than low-water-content soils. During freezing, unfrozen water content decreases as a power function with freezing time at different depths of soil samples, with the frozen zone experiencing the fastest water reduction, followed by the freezing front and then the unfrozen zone. Both free and bound water progressively decrease in frozen and unfrozen zones. After freeze-thaw, the change in soil pore structure leads to a decrease in bound water and an increase in free water in frozen zones, while both decrease in unfrozen zones. Furthermore, higher initial water content results in more pronounced reductions of bound water and increases of free water in frozen zones. These findings advance the understanding of hydro-thermal coupling mechanisms and provide theoretical foundations for frost damage mitigation in high-speed railway subgrades.