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In order to investigate the micro-process and inner mechanism of rock failure under impact loading, the laboratory tests were carried out on an improved split Hopkinson pressure bar (SHPB) system with synchronized measurement devices including a high-speed camera and a dynamic strain meter. The experimental results show that the specimens were in the state of good stress equilibrium during the post failure stage even when visible cracks were forming in the specimens. Rock specimens broke into strips but still could bear the external stress and keep force balance. Meanwhile, numerical tests with particle flow code (PFC) revealed that the failure process of rocks can be described by the evolution of micro-fractures. Shear cracks emerged firstly and stopped developing when the external stress was not high enough. Tensile cracks, however, emerged when the rock specimen reached its peak strength and played an important role in controlling the ultimate failure during the post failure stage.