Abstract: Deep coal rock blasting poses high risks, and hydraulic fracturing faces limitations, necessitating the development of controllable rock-breaking technologies. As an advanced high-energy gas fracturing technique, high-energy gas-generating agents demonstrate remarkable advantages in rock fragmentation, providing robust technical support for efficient and safe coal mining. This study focuses on the casing materials of high-energy gas-generating agents, investigating their impact on borehole wall pressure during coal rock fracturing. A comprehensive pressure monitoring system was established, employing three casing materials—transparent PVC, white PVC, and kraft paper tubes—for borehole wall pressure experiments. Attenuation indices and reliability were selected as evaluation metrics to analyze the influence of material physical properties on borehole wall pressure. Results indicate that the initiator, upon ignition, generates stress waves and a small amount of gas. The stress wave induces the first pressure peak, followed by a decline due to gas diffusion. The superposition of reflected stress waves and gas expansion waves forms the second peak, while gas expansion variations produce the third peak. Without the main agent, the initiator group exhibits the lowest pressure peak, shortest pressure rise time, minimal loading rate, limited energy release, and low transmission efficiency. For the three groups containing the main agent, pressure peaks near the high-energy gas-generating agent (10 cm away) approximate 200 MPa, with pressure rise times around 20 ms. The attenuation coefficients of pressure peaks for the three casing materials follow the order: transparent PVC > white PVC > kraft paper tube. The attenuation coefficients of pressure rise times rank as: transparent PVC > kraft paper tube > white PVC. For loading rate attenuation coefficients, the sequence is: white PVC > transparent PVC > kraft paper tube. Due to its high elastic modulus and low Poisson’s ratio, white PVC casing demonstrates optimal performance in pressure peak, rise time, and loading rate near the high-energy gas-generating agent, achieving the highest energy transmission efficiency. Transparent PVC casing exhibits higher pressure peaks and loading rates than the paper tube near the agent but underperforms at longer distances, indicating strong directionality and concentration. The kraft paper tube ensures uniform energy distribution but exhibits the weakest overall energy concentration, along with the longest rise times and lowest loading rates. These findings provide a theoretical foundation for optimizing high-energy gas-generating agent designs and enhancing rock-breaking efficacy.