Abstract: To reveal the pore structure evolution and protection mechanism of cement mortar coated with nano-SiO₂-modified cementitious capillary crystalline waterproofing material (CCCW) under freeze–thaw cycles, and to address the limited understanding of freeze–thaw pore structure regulation and interfacial densification induced by nano-SiO₂ modification of CCCW, mass loss and compressive strength tests were conducted on cement mortar specimens with four nano-SiO₂ contents (0, 0.5%, 1.0%, and 1.5%). Among these, 1.0%–1.5% was identified as the favorable dosage range. The 1.0% dosage was then selected as the representative content, and SEM, EDS, and X-CT were employed to investigate the pore structure parameters and interfacial characteristics of uncoated specimens, specimens coated with unmodified CCCW (0%NS/CW), and specimens coated with 1.0%NS/CW at different freeze–thaw stages. The results showed that after 125 freeze–thaw cycles, the mass loss of the 1.0%NS/CW group was 1.50 percentage points lower than that of the 0%NS/CW group, and its compressive strength retention reached 77.3%. After 100 freeze–thaw cycles, the porosity of uncoated specimens increased to 4.51%, approximately three times that before freeze–thaw cycling, and the three-dimensional fractal dimension increased by 12.6%. The 0%NS/CW coating retarded pore expansion to a certain extent; however, its protective effect weakened at later stages owing to progressive coating cracking and spalling. In contrast, the 1.0%NS/CW coating penetrated into surface pores and microcracks and formed a densified crystalline structure dominated by Ca and O and accompanied by Si in the coating–substrate transition zone, which helped reduce pore connectivity. After 100 freeze–thaw cycles, the porosity of the 1.0%NS/CW group was 2.64%, 41.5% and 23.3% lower than that of the uncoated and 0%NS/CW groups, respectively; the three-dimensional fractal dimension increased by only 2.0%, and the range of lamellar porosity decreased by 44.3% and 36.5% compared with the other two groups. Within the nano-SiO₂ dosage range considered, the 1.0%NS/CW coating demonstrated clear freeze–thaw protective effects from the perspectives of both pore structure stability and interfacial densification.