Natural gas hydrate (NGH) is considered one of the most promising future energy sources because of its considerable reserves and high energy density, which could meet the growing global energy demand and improve the energy consumption structure. However, NGHs exist in the sediment mainly in the form of cementation or a part of the sediment skeleton, which may be responsible for the stability of native sediments. Therefore, during commercial NGH exploitation, the analysis of the mechanical characteristics of the hydrate-bearing sediment (HBS) is necessary to ensure safe exploitation. This review comprehensively summarizes recent mechanical studies on HBS; the influences of several important parameters (hydrate saturation, effective confining pressure, sediment composition, loading rate, temperature, and pore pressure) on the mechanical behavior of HBS are clarified, and the corresponding particle-level mechanisms are discussed. In addition, the influences of hydrate exploitation techniques (depressurization, thermal stimulation, and carbon dioxide replacement) on the strength and deformation behavior of HBS are investigated. The proposed relationships and mechanisms provide insightful guidance for understanding the mechanical behavior of HBS and developing models for predicting the structural evolution of HBS during NGH exploration and exploitation.