In coal mining, the excavation of a coal-rock roadway and a thin coal seam will inevitably cause radial unloading of the coal-rock combination system. The radial unloading phenomenon is often accompanied by the rapid accumulation and release of energy, so it is necessary to investigate the energy evolution law of coal-rock combination specimens under the unloading confining pressure condition. To this end, the unloading confining pressure tests with different unloading rates were carried out for the coal-rock combination specimens. The results show that: (1) The axial loading and constant stress stages are the main energy storage stages of the combination specimens. The failure stage is mainly dominated by the release and dissipation of energy. (2) The acceleration of the unloading rate leads to the decrease of the peak elastic energy of the specimens, and the increment of the elastic energy at 0.03 MPa /s in the constant stress stage is 1.64, 2.70 and 3.50 times of that at 0.06 MPa /s, 0.09 MPa /s, and 0.12 MPa /s, respectively. (3) The increase of unloading rate will lead to the increase of post-peak dissipation energy of the specimen, and the post-peak dissipation energy is 28.17%, 49.53%, 69.55% and 92.87% of the peak elastic energy when the unloading rate increases from 0.03 MPa /s to 0.12 MPa /s, respectively. (4) The increase in unloading rate will significantly enhance the tensile failure tendency of coal-rock combination specimens, resulting in an increase in the fracture angle, an increase in the number of tensile secondary cracks, and an enhancement in the breaking strength. (5) A dissipative energy constitutive model considering the initial damage is established to reasonably explain the whole process of damage evolution of coal-rock combination specimens under the unloading confining pressure conditions. The research results are significant for understanding the energy evolution characteristics of coal-rock combination samples with unloading rate.