The high hydraulic confining pressure exhibited in oil-well downholes and deep water conditions affects jet dynamic characteristics remarkably. A set of devices and equipment were developed to study the influence of confining pressure on jet impact pressure and rock-breaking efficiency. The three most popular jet types-a conical water jet, a cavitating jet, and an abrasive jet-were studied with a maximum nozzle pressure drop of 25.0 MPa and maximum confining pressure of 20.0 MPa. Results clearly reveal the close relationship among confining pressure and jet impact pressure and rock-breaking efficiency. The axial jet impact pressure and rock removal volume decrease while as confining pressure increases, and the decreasing curve becomes flattened at a certain point. Under the same conditions, the rock-breaking efficiency of the cavitating nozzle jet is higher than the conical nozzle jet, and cavitating erosion and pressure fluctuation are the important factors affecting jet rock-breaking efficiency. Furthermore, under confining pressure conditions, pure water jets have an optimal standoff distance about 3 to 5 times that of the nozzle outlet diameter, at which the highest rock removal volume is achieved. According to the study, a drop of jet impact pressure with growth of confining pressure may be the main reason for the decreasing rock-breaking capability. The study could be used as a reference for setting and optimizing jet application conditions, and also could be adopted for developing working parameter selections as well as guiding the nozzle structure designs.