To study the tensile strength of rock under different loading rates, direct tensile test is the most accurate method. However, the eccentric tension in the process of rock direct tensile test has a significant influence on the test results. In this paper, firstly, a self-developed centering device for rock direct tensile test is introduced, which can effectively eliminate the eccentric tension in the process of rock direct tensile test. Then, with the aid of the self-developed centering device, the direct tensile tests of red sandstone under the loading rates of 0.001 mm/s, 0.01 mm/s and 0.1 mm/s are successfully carried out. After tests, both the macro failure characteristics and the scanning electron microscope micrograph show that the fracture pattern of the rock is caused by pure tensile loading. The stress-strain curves of the direct tensile test of the red sandstone show that the process of the direct tensile test can be roughly divided into four stages. With the increase of loading rate, both of the tensile strength and the peak tensile strain of the rock increase obviously. The direct tensile test of the red sandstone shows obvious loading rate effect.