To determine the intrinsic relationship between the acoustic emission (AE) phenomenon and the fracture pattern pertaining to the entire fracture process of rock, the present paper proposed a multi-dimensional spectral analysis of the AE signal released during the entire process. Some uniaxial compression AE tests were carried out on the fine sandstone specimens, and the axial compression stress–strain curves and AE signal released during the entire fracture process were obtained. In order to deal with tens of thousands of AE data efficiently, a subroutine was programmed in MATLAB. All AE waveforms of the tests were denoised by wavelet threshold firstly. The fast Fourier transform (FFT) and wavelet packet transform (WPT) were applied to the denoised waveforms to obtain the dominant frequency, amplitude, fractal, and frequency band energy ratio distribution. The results showed that the AE signal in the entire fracture process of fine sandstone had a double dominant frequency band of the low and high-frequency bands, which can be subdivided into low-frequency low-amplitude, high-frequency low-amplitude, high-frequency high-amplitude, and low-frequency high-amplitude signals, according to the magnitude. The low-frequency amplitude relevant fractal dimension and the high-frequency amplitude relevant fractal dimension each had turning points that corresponded to significant decreases in the middle and end stages of loading, respectively. The frequency band energy was mainly concentrated in the range of 0–187.5 kHz, and the energy ratios of some bands had different turning points, which appeared before the complete failure of the rock. It is suggested that the multi-dimensional spectral analysis may understand the failure mechanism of rock better.