Out-of-plane compression experiments with the strain rate from 0.0001/s to 1000/s are performed on a three-dimensional (3D) fine weave-pierced Carbon/Carbon (C/C) composite using a universal testing machine, a high-speed testing machine, and a split Hopkinson pressure bar (SHPB). The compressive failure mechanism of the composite is analyzed by a multi-scale analysis method, which ranges from micro-scale defect propagation, through meso-scale microstructure failure, to macro-scale material failure. In order to predict the out-of-plane compressive properties of 3D fine weave-pierced C/C composite at different strain rates, a strain-rate-dependent compressive constitutive model is proposed. The results show that the out-of-plane compressive behavior of the 3D fine weave-pierced C/C composite is sensitive to strain rate. With increasing the strain rate, the initial compressive modulus, the maximum stress, and the strain at the maximum stress increase. The difference in mechanical behavior between quasi-static and high strain rate compression is owing to the strain rate effect on the defect propagation of the 3D fine weave-pierced C/C composite. The proposed constitutive model matches well with the experimental data.