Under dynamic impact of high-pressure water jet, load is acted on the coal in ultra-short duration. As stress waves are generated, the stress field becomes very complicated in the coal/rock. Analyzing the stress field and its changes in the coal under the impact of water jet is the key task to study the process and mechanism of coal breakage by pressure water jet. In this paper, based on the equation of the stress wave transmitting in the medium of coal and the description about impact process of water jet acting on coal, an analytical model of impact of water jet on coal/rock has been developed, and the analytic solution of stress field in coal/rock under the dynamic impact load has been achieved. Several examples were then analyzed. The results indicate that: the process of water jet impact on coal can be divided to three stages, i.e. (a) no cross-flow stage, (b) steady flow stage, (c) unloading stage. At the non-cross-flow stage, the radial stress and the peak value of tangential stress are both tensile; at the stable flow stage, the radial stress is the compressive stress and the tangential stress is tensile stress; at the unloading stage, the radial stress turns into the tensile stress and the tangential stress becomes the compressive stress. The bigger the peak value of the stress is, the higher the unloading rate is. With the same unloading rates the magnitude of the radial stress is bigger than that of the tangential stress. The generation of the high tensile stress contributes to the damage of coal which has a low tensile strength.